Calibration
Implied vol inversion, Levenberg-Marquardt for model fitting, SVI surface parametrisation, ill-posedness and Tikhonov regularisation — from root-finding to production-grade surface calibration.
4 modules~99 min total
Prerequisites
Derivatives Pricing (Black-Scholes, implied vol)Numerical Methods (root-finding, nonlinear optimisation basics)Linear algebra (SVD, least squares)
Modules
01
Newton-Raphson and Brent for Implied Volatility
HardCalibrationImplied VolatilityRoot-FindingBlack-Scholes
22 min
02
Levenberg-Marquardt for Model Calibration
HardCalibrationNumerical OptimisationHeston ModelImplied Volatility
25 min
03
SVI Parametrisation
HardCalibrationImplied VolatilityVol SurfaceSVIArbitrage-Free Conditions
27 min
04
Regularisation and Stability in Calibration
HardCalibrationRegularisationTikhonovInverse ProblemsNumerical Stability
25 min