Leo Neufcourt

Columbia University

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New York, NY 10027

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Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016

Gaoyue Guo, Antoine (Jack) Jacquier, Claude Martini and Leo Neufcourt

Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University

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