arXiv research

Framework predicts implied volatility surface without arbitrage.

Study uses sentiment analysis to predict implied volatility surface, improving prediction accuracy.

Modeling implied volatility surface dynamics with Hawkes kernels.

Dynamic functional time-series methods improve forecast accuracy for foreign exchange implied volatility surfaces.

Enhanced hedging for S&P 500 options using volatility surface data.

New encoding improves volatility surface generation and risk management.

The implied volatility smile surface is the basis of option pricing, and the dynamic evolution of the option volatility smile surface is difficult to predict. In this paper, attention mechanism is introduced into LSTM, and a volatility surface prediction method combining deep learning and attention mechanism is pioneer…

Proposes deep hedging for index options using implied volatility surface.

A new method simulates implied volatility surfaces for multiple assets.

New model predicts implied volatility using past asset price paths.

The paper extends option pricing theory for markets with informed traders.

The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful construction of IVS in practice: arbitrage-free conditions in both strike and time, how to…

We propose a new static parameterization of the implied volatility surface which is constructed by using polynomials of sigmoid functions combined with some other terms. This parameterization is flexible enough to fit market implied volatilities which demonstrate smile or skew. An arbitrage-free calibration algorithm i…

Generative diffusion models forecast implied vol surfaces without arbitrage issues.

Generates consistent IV surfaces using VAEs and SDE models.

Study uses SABR model to create implied volatilities from sparse quotes.

We give a general criterion for the Dirichlet problem at infinity (DPI) on a Cartan-Hadamard surface to be solvable, which we primarily use to give the best possible upper radial radial curvature bound for solvability of the DPI, but which is also flexible enough to accommodate flats. In particular, any (upper) radial …

The paper models asset prices using Wiener chaos expansions for efficient calibration to implied volatility surfaces.

Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the financialization of futures markets in the early 2000s, we investigate if these extant mod…

Study on skew and curvature of implied and local volatilities using Malliavin calculus.

We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular…

The study models credit risk using Merton's framework and binomial trees.

The paper shows nearly-Fuchsian properties for certain hyperbolic 3-manifolds.

The paper proposes a new method to calibrate option pricing models that accurately match both volatility surfaces and variance term structures.

We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the question of existence of 'forward implied variance' in the original derivation of Gatheral, who introduced this representation in his book 'The Vol…

We prove results showing that the existence of essential maps of surfaces in a manifold M' obtained from a 3-manifold M by Dehn filling implies the existence of essential maps of surfaces in M.

In this paper we develop a novel neural network model for predicting implied volatility surface. Prior financial domain knowledge is taken into account. A new activation function that incorporates volatility smile is proposed, which is used for the hidden nodes that process the underlying asset price. In addition, fina…

Study local volatility from rough volatility models, finding new skew rule.

Proposes a flexible framework for implied volatility surfaces with random parameters.

We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently used to solve efficiently (martingale) optimal transport problems.

Paper shows equivalence of two curvature notions on singular surfaces.

The paper analyzes LETF option markets using moneyness scaling to find statistical arbitrage opportunities.

New method shows nonorientable surfaces in 4D are topologically unknotted.

We prove new local inequality for divisors on surfaces and utilize it to compute $α$-invariants of singular del Pezzo surfaces, which implies that del Pezzo surfaces of degree one whose singular points are of type $\mathbb{A}_{1}$, $\mathbb{A}_{2}$, $\mathbb{A}_{3}$, $\mathbb{A}_{4}$, $\mathbb{A}_{5}$ or $\mathbb{A}_{6…

The paper proves mapping class groups of closed surfaces are simply connected at infinity.

We show that the disk complex of a genus $g>1$ Heegaard surface for the 3-sphere is homotopy equivalent to a wedge of $(2g-2)$-dimensional spheres. This implies that genus $g>1$ Heegaard surfaces for the 3-sphere are topologically minimal with index $2g-1$.

For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log strike. We illustrate the versatility of our expansion by computing t…

given two minimal surfaces embedded in $\S3$ of genus $g$ we prove the existence of a sequence of non-congruent compact minimal surfaces embedded in $\S3$ of genus $g$ that converges in $C^{2,α}$ to a compact embedded minimal surface provided some conditions are satisfied. These conditions also imply that, if any of th…

Novel method for nowcasting implied volatility using neural operators.

Study finds conditions for minimal surfaces in noncompact spaces.

The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when the underlying ETF is modeled by a general class of local-stochastic volatility mo…

We show that if $M$ is a closed three manifold with a Heegaard splitting with sufficiently big "handlebody distance" then the subgroup of the mapping class group of the Heegaard surface, which extend to both handlebodies is finite. As a corollary, this implies that under the same hypothesis, the mapping class group of …

Minimal surfaces in hyperbolic space have a renormalized area criterion.

We show that Masur's logarithmic law of geodesics in the moduli space of translation surfaces does not imply unique ergodicity of the translation flow, but that a similar law involving the flat systole of a Teichmüller geodesic does imply unique ergodicity. It shows that the flat geometry has a better control on ergodi…

We prove each embedded, constant mean curvature (CMC) surface in Euclidean space with genus zero and finitely many coplanar ends is nondegenerate: there is no nontrivial square-integrable solution to the Jacobi equation, the linearization of the CMC condition. This implies that the moduli space of such coplanar surface…

We address the problem of second order conformal deformation of spacelike surfaces in compactified Minkowski 4-space. We explain the construction of the exterior differential system of conformal deformations and discuss its general and singular solutions. In particular, we show that isothermic surfaces are singular sol…

In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbit…

This paper is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility models and the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data. We use an extension of classical B-splines …