Arianna Mingone

Ecole Polytechnique de Paris (CMAP)

Paris

France

Zeliade Systems

Paris

France

SCHOLARLY PAPERS

4

DOWNLOADS

381

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

No Arbitrage SVI

Number of pages: 38 Posted: 04 Jun 2020 Last Revised: 25 May 2021
Claude Martini and Arianna Mingone
Zeliade Systems and Ecole Polytechnique de Paris (CMAP)
Downloads 240 (185,925)
Citation 2

Abstract:

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Implied volatility, volatility smile, calibration, SVI, arbitrage-free parameterization

2.

No arbitrage global parametrization for the eSSVI volatility surface

Number of pages: 18 Posted: 13 Apr 2022
Arianna Mingone
Ecole Polytechnique de Paris (CMAP)
Downloads 67 (484,589)

Abstract:

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Implied volatility, volatility smile, calibration, SVI, eSSVI, arbitrage-free parameterization

3.

Explicit No Arbitrage Domain for Sub-SVIs via Reparametrization

Number of pages: 41 Posted: 08 Jun 2021
Arianna Mingone and Claude Martini
Ecole Polytechnique de Paris (CMAP) and Zeliade Systems
Downloads 67 (477,110)

Abstract:

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Implied volatility, volatility smile, calibration, SVI, sub-SVIs, arbitrage-free parameterization

4.

Smiles in delta

Number of pages: 20 Posted: 23 Sep 2022
Arianna Mingone
Ecole Polytechnique de Paris (CMAP)
Downloads 7 (861,051)

Abstract:

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Implied volatility, volatility smile, delta, butterfly arbitrage