Calibration of GARCH models using concurrent accelerated random search

Mathematics

• Random Search 100%
• GARCH Model 99%
• Concurrent 81%
• Calibration 79%
• Gradient 56%
• Heston Model 54%
• Distributed Computing 51%
• Stochastic Volatility Model 48%
• Leverage 46%
• Variance Reduction 45%
• Option Pricing 43%
• Optimization Algorithm 39%
• Speedup 38%
• Global Optimization 38%
• Loss Function 37%
• Trade-offs 37%
• Minimise 29%
• Influence 28%
• Optimization 27%
• Converge 23%
• Standards 20%

Engineering & Materials Science

• Calibration 56%
• Stochastic models 40%
• Distributed computer systems 38%
• Global optimization 38%
• Costs 14%