Convex Volatility Interpolation
Convex Volatility Interpolation (CVI), a new method for calibrating implied volatility surfaces using quadratic programming, has been introduced, eliminating the need for hyperparameter tuning.
Featured in No. 50 on 22 May 2024 · 6 days after release · 2 citations today
- Released
- 16 May 2024
- First featured
- No. 50 · 22 May 2024
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 6
- Identifier
- SSRN 4831218
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).