Automatic Implicit Function Theorem

Code companion

Code to go with our paper, see below

Contents

• AIFT_exact_fit_example.ipynb: The main notebook referenced in the paper. It shows an example of using AIFT for the exact-fit calibration problem
• AIFT_best_fit_example.ipynb: A version of the the main notebook where least-squares best-fit replaces the exact fit calibration problem

Paper

Goloubentsev, Dmitri and Lakshtanov, Evgeny and Piterbarg, Vladimir, Automatic Implicit Function Theorem (December 14, 2021). Available at SSRN: http://ssrn.com/abstract=3984964