The Calibration Conundrum: Optimizers and (Joint) Objective Functions

In this presentation, Laura Ballotta investigates the complexities underlying the calibration of option-pricing models, a crucial task for quantitative analysts in financial markets. She emphasizes the importance of algorithm selection when navigating the “valleys” of the objective-function landscape, advocating greater scrutiny of optimization routines to ensure consistent, meaningful parameter estimates. Laura also discusses how to set up adequate objective functions for joint-calibration problems.