Fast, accurate and arbitrage-free volatility surface fitting remains a core challenge for options desks. Fabrice Deschâtres presents convex volatility interpolation (CVI), a framework that casts the ...

Convex optimisation constitutes a fundamental area in applied mathematics where the objective is to identify the minimum of a convex function subject to a set of convex constraints. This framework ...

Jennifer McLoud-Mann had almost come to believe that her last two years of work had been for naught. "It had gotten to the point, where we hadn't found anything," she said. "And I was starting to ...