On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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2 results for “eSSVI”

No arbitrage global parametrization for the eSSVI volatility surfaceq-fin.MF

New method calibrates eSSVI volatility surfaces without arbitrage.

problem Sequential calibration of eSSVI surfaces lacks global view and guarantees no arbitrage.

method Global and arbitrage-free parametrization of eSSVI surfaces.

result Faster calibration always guarantees an arbitrage-free fit.

eSSVI volatility surface calibration arbitrage global parametrization

2022-04-01abs ↗pdf ↗

Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridgeq-fin.TR

Unified market making controls risk, arbitrage, and volatility surfaces.

problem Market making risk, arbitrage, and volatility surface consistency.

method Constrained RL and stochastic control for risk-sensitive execution and hedging.

result Agent achieves positive P&L with zero calendar and butterfly violations.

market making risk-sensitive RL stochastic control arbitrage

2025-10-06abs ↗pdf ↗