The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …

exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

We propose a method for determining an arbitrage-free density implied by Hagan’s formula. Our technique is based on the … function (SDF) and project them on a polynomial of an arbitrage-free variable for which we choose the Gaussian variable. In … this way we have equality in probability at the collocation points while the generated density is arbitrage-free. Analytic …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

basic challenges which are faced by a practical user of LMM. Incorrect implementation can lead to arbitrage in the model and … render generated prices invalid. In this paper, we present a rate interpolation scheme which not only is arbitrage-free, but …

a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI …

enforce no-arbitrage constraints in strike and calendar dimensions we establish sufficient no-arbitrage conditions on the …