CVI is an algorithm for constructing implied volatility surfaces that is framed as a convex optimisation problem. As such, it is suitable to be processed by modern optimisation solvers like CVXPY, ...
Fast, accurate and arbitrage-free volatility surface fitting remains a core challenge for options desks. Fabrice Deschâtres presents convex volatility interpolation (CVI), a framework that casts the ...
Samantha (Sam) Silberstein, CFP®, CSLP®, EA, is an experienced financial consultant. She has a demonstrated history of working in both institutional and retail environments, from broker-dealers to ...
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