The Implicit Function Theorem, or IFT, is a powerful tool for calculating derivatives of functions that solve inverse, i.e. calibration, problems prevalent in financial applications. It is commonly believed that a degree of manual intervention is required to enable financial code to take...

We introduce a new approach to denoising correlation matrices that imposes a block structure with a fixed block-dependent pair-wise correlation within each block and a constant correlation specified for each pair of blocks. We characterize the eigenvalue spectrum and modify the Marchenko-Pastur...