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 … Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade … in 2019, but it is sequential in expiries and lacks of a global view on the surface. The alternative calibration …

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 …