Two Levels of optimization in svi_class

clf110510 / stochastic-volatility

three stochastic volatility model: Heston, SABR, SVI

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Two Levels of optimization in svi_class #2

Open ayushgupt opened 3 years ago

ayushgupt commented 3 years ago

Is there a reason to optimise inner inside outer optimisation here? Both are using different methods of optimisation. Is this being done because there are a lot of degrees of freedom and we need to be absolutely sure of reaching the best set of parameters?

1117shx commented 2 years ago

hello, I am confused of the optimization of parameters of the svi model, can you tell me where i can find the two levels of optimization method?