SSVI

Surface SVI parameterisation and corresponding local volatility

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/learn @JackJacquier/SSVI

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Surface SVI

Examples of SSVI implied volatility surfaces, and corresponding local volatility surfaces.

J, Gatheral, A. Jacquier. Arbitrage-free SVI volatility surfaces. Quantitative Finance, 14(1): 59-71, 2014. https://www.tandfonline.com/doi/full/10.1080/14697688.2013.819986

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