Wednesday July 18 2012
\n13:00
\nScuola Normale Superiore
\nAula 2<\/p>\n
James G. M. Gatheral<\/strong> Abstract Wednesday July 18 2012 13:00 Scuola Normale Superiore Aula 2 James G. M. Gatheral Baruch College, The City University of New York Abstract In this talk we motivate the widely-used SVI (“stochastic volatility inspired”) parameterization of the implied volatility surface and show how to calibrate it in such a way as to guarantee the absence […]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/462"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=462"}],"version-history":[{"count":3,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/462\/revisions"}],"predecessor-version":[{"id":716,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/462\/revisions\/716"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=462"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=462"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=462"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\nBaruch College, The City University of New York<\/span><\/p>\n
\n<\/strong>In this talk we motivate the widely-used SVI (“stochastic volatility inspired”) parameterization of the implied volatility surface and show how to calibrate it in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX options data. We conclude by suggesting that SVI might one day replace SABR as the implied volatility parameterization of choice.
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