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Rotating Frames: A New Optimisation Algorithm for Global Calibration

Summary: Rotating Frames: A New Optimisation Algorithm for Global
Paul Michael Papathomas
Department of Mathematics
King's College London
The Strand, London WC2R 2LS
United Kingdom
Email: paul@papathomas.net
1 September 2010
Report submitted in partial fulfillment of the
requirements for the degree of MSc in Financial
Mathematics in the University of London
Global calibration is a new approach to financial modelling with specific computational
requirements. Rotating Frames is an optimisation algorithm developed for global cal-
ibration. In this report the algorithm is documented, and characterised in a formal
manner against a standard battery of optimisation problems. It is found to be com-
parable in robustness to some of the most widely used optimisation algorithms, with
potential for wider applicability outside of global calibration as a robust easy-to-use
direct search optimiser.


Source: Albanese, Claudio - Department of Mathematics, King's College London


Collections: Mathematics