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q-fin.CP2026
Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
Atithi Acharya, Yue Sun, Brandon Augustino +3
We develop a global martingale optimal transport framework for joint S&P 500 (SPX)-VIX smile calibration across multiple maturities, without the conditional independence that Marko…
q-fin.CP2026
Beyond the Skew-Stickiness Ratio: Transport Geometry of Spot-Driven Variance Surface Dynamics
Charlie Che, Pradeepta Das
The dynamics of an implied volatility surface to movements of the underlying is classically described by separate rules: sticky strike, sticky delta and Bergomi's skew-stickiness r…
q-fin.CP2026
SPX-VIX Risk Computations Via Perturbed Optimal Transport
Charlie Che, Hanxuan Lin, Yudong Yang +2
We propose a model independent framework for generating SPX and VIX risk scenarios based on a joint optimal transport calibration of their market smiles. Starting from the entropic…