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lets_be_rational

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by vollib

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c++implied volatilitynumerical methodsoptions pricingpython

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Build the foundations

Suggested foundations for optimisation and numerical methods. Specialist prerequisites vary by resource.

Before you read

  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

Go further

  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

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Explore Linear Algebra, Optimisation and Numerical Methods

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