# SVI Zeliade Vol Surface Calibration

Have a question about SVI Zeliade Implementation (pdf, overview). The paper suggested to do 2 rounds of optimization, first for $\{a,b,\rho\}$ and 2nd for $\{m,\sigma\}$.

Does anyone know if I can invert the order of optimization. First, optimize $\{m,\sigma\}$, and then optimize $\{a,b,\rho\}$.

Benedict

• It's been a while since I looked at this, but iirc you misunderstood the order: the point of the Zeliade whitepaper is that the 5 dimensional optimization can be reduced to a 2 dimensional optimization since for any given $m$ and $\sigma$ the other parameters follow as the result of an (constrained) linear program. – Bram Jan 12 '18 at 8:50