360 citations · 393 across the 10 of their papers we have counts for
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q-fin.MF2021★ 1 cited
Explicit no arbitrage domain for sub-SVIs via reparametrization
Claude Martini, Arianna Mingone
The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization of 2 fu…
q-fin.MF2021
Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales
Claude Martini, Iacopo Raffaelli
Implied volatility is at the very core of modern finance, notwithstanding standard option pricing models continue to derive option prices starting from the joint dynamics of the un…