Re: G2 update
Posted by
giambologna on
Jul 01, 2004; 4:06am
URL: http://quantlib.414.s1.nabble.com/Re-G2-update-tp3003p3005.html
Hi
You can consider semidefinite programming:
http://arxiv.org/abs/cs.CE/0302034Stefano
Neil P Firth <
[hidden email]> wrote:
Hi,
I have to say that I'm not an expert on IR methods, but I have read some
stuff on using Levenberg-Marquardt Nonlnear least squares to do the
calibration to swaptions. Google on: levenberg swaption calibration. Could
also try global Newton methods. I read on wilmott.com that the NR L-M
method is flawed, but I don't know whether that is true or not....
Neil
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