Hi, this is very overdue but I thought I should upload my old stochastic optimization project. I did it as the final rpoject for the course stochastic optimization by computer simulation MATH 795-61 at the graduate center. The course (website) was taught by Prof. Felisa Vasquez-Abad and the it gave a statistical footing on the underpinnings of machine learning.
The project was about calibrating the parameters from the Heston stochastic volatility to a time series of closing option prices. The work uses stochastic optimization to minimize the MSE between the observed option prices and the simulated option prices.
I should make a demo on github but the project paper is great on its own.
Originally published: September 25, 2020