4 citations · 5 across the 6 of their papers we have counts for
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q-fin.PR2012
Arbitrage-free SVI volatility surfaces
Jim Gatheral, Antoine Jacquier
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In p…
q-fin.PR2010
Convergence of Heston to SVI
Jim Gatheral, Antoine Jacquier
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of th…