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Problem: Calibration of the Duffie Pan and Singleton Model (2000)

philipp.la
Posted 11 years ago

Hello community,

at the moment I try to implement the calibration scheme described by (Mikhailov, Nögel). I'm not sure whether to use NMinimize, ArgMin, FindFit, LeastSquares etc. to solve my calibration problem. So far I tried NMinimize but the only results I get are error messages (as shown in the image attached). My question is, how do I need to build my function that NMinimize solves for the five parameters of the model if that is even possible?

Thank you in advance! enter image description here

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POSTED BY: philipp.la
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philipp, The NMinimize:ivar warning appears to say that k (kappa) has a value and should not be used as an independent variable in NMinimize.

Both: attaching a notebook file with your code would make it easier for others to try to help.

POSTED BY: Bruce Miller
philipp.la
philipp.la
Posted 11 years ago

Hey Bruce,

thanks for your fast answer! I just uploaded my complete notebook file.

Best regards, Philipp
POSTED BY: philipp.la

Hey Bruce,

thanks for looking it up. I just uploaded the nb.

Best regards, Pantelis
POSTED BY: Panteleimon Mavromatidis
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POSTED BY: Panteleimon Mavromatidis
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