The purpose of this paper is to summarize the development of the notion of "model risk" and present the current state of the art, before outlining open issues that must be resolved in order to define a consistent framework for measuring model risk

In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We...