Ground-breaking recent work by Carr and Lee extends well-known results for variance swaps to arbitrary functions of realized variance, provided a zero-correlation assumption is made. We give a detailed mathematical analysis of some of their computations and work out the cases of volatility swaps...

<title>Abstract</title>We consider the three-factor double mean reverting (DMR) option pricing model of Gatheral [<italic>Consistent Modelling of SPX and VIX Options</italic>, 2008], a model which can be successfully calibrated to both VIX options and SPX options simultaneously. One drawback of this model is that calibration...

In this article, we show how to calibrate the widely used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form...

Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship between the shape of the market impact function describing the average response of the market...

We introduce a new microstructure noise index for financial data. This index, the computation of which is based on the p-variations of the considered asset or rate at different time scales, can be interpreted in terms of Besov smoothness spaces. We study the behavior of our new index using...