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 …

that CIP violations imply arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the … absence of observable riskless discount rates, we extract them empirically using a simple no-arbitrage framework. They deliver …-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the …

the foreign exchange (FX) swap market predicts that shortage of global arbitrage capital (GAC), by making the FX swap …