<t>Hi Financial Alex, Thanks for the reference. I srounged around for info on the particle swarm and differential evolution. Implimented both - they work very well. I'm finding that the particle swarm is somewhat more reliable. But it's the first cut of the DE model - haven'rt really fine tuned it. ...

<t>Hi Financial Alex, Yeah I'm working on an optimiser to calibrate a parameteric vol surface. I need something that is robust - because the market has the potential of throwing up all types of local maxima and minima.Have you worked much with the Sabr model - if so how does it compare to the Heston...

<t>Hi Financial Alex, Yeah I'm working on an optimiser to calibrate a parameteric vol surface. I need something that is robust - because the market has the potential of throwing up all types of local maxima and minima.Have you worked much with the Sabr model - if so how does it compare to the Heston...

<t>I'm finding that the jacobi, Gauss-Sediel and SOR methods don't perform well when the matrix is not srtrictly diagonal. These were the solvers I first tried when implimenting the Galekin method using cubic polynomials. That's when I moved to LU.Maybe there are "fixes" to improve the performance -...

<t>Yes, I use it because I'm a quant with too much spare time on my hands so I try to solve the black scholes equation in different ways just to compare the results I also think it's a bit of an over kill when FD CNS is very fast and accurate and much more straight forward to impliment.I do have a p...