Andrew Kos

Credit Suisse AG

Giesshübelstrasse 40

Zurich, 8002

Switzerland

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De-Arbitraging with a Weak Smile: Application to Skew Risk

Wilmott Magazine, p. 40, 2013
Number of pages: 10 Posted: 25 Apr 2014 Last Revised: 21 May 2014
Babak Mahdavi-Damghani and Andrew Kos
University of Oxford - Oxford-Man Institute of Quantitative Finance and Credit Suisse AG
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arbitrage-free volatility surface; Dupire local volatility; Fokker-Planck equation; Kolmogorov forward equation; constraint optimization; search algorithm; butterfly spread; calendar spread; arbitrage frontier; SVI; gSVI; skew risk; Vanna