assets. Each asset volatility smile is modeled according to a density-mixture dynamical model while the same property holds … reconcile single name and index/basket volatility smiles in a consistent framework. Our approach could be dubbed a … multidimensional local volatility approach with vector-state dependent diffusion matrix. The model is quite tractable, leading to a …

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 …

ergodicity of the underlying variance process and the concept of asymptotic arbitrage proposed in Kabanov-Kramkov and in Follmer-Schachermayer …

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 …