Arianna Mingone

Ecole Polytechnique de Paris (CMAP)

Paris

France

Zeliade Systems

Paris

France

SCHOLARLY PAPERS

2

DOWNLOADS

126

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

No Arbitrage SVI

Number of pages: 38 Posted: 04 Jun 2020 Last Revised: 25 May 2021
Claude Martini and Arianna Mingone
Zeliade Systems and Ecole Polytechnique de Paris (CMAP)
Downloads 106 (309,091)
Citation 1

Abstract:

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Implied volatility, volatility smile, calibration, SVI, arbitrage-free parameterization

2.

Explicit no arbitrage domain for sub-SVIs via reparametrization

Number of pages: 41 Posted: 08 Jun 2021
Arianna Mingone and Claude Martini
Ecole Polytechnique de Paris (CMAP) and Zeliade Systems
Downloads 20 (622,883)

Abstract:

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Implied volatility, volatility smile, calibration, SVI, sub-SVIs, arbitrage-free parameterization