A mathematical and a market argument on the sub-linearity of the wings for the implied variance is given. Gatheral stochastic volatility inspired (SVI) parameterization claim to have two key properties that have led to its subsequent popularity with practitioners is exposed. Namely the linearity...

The aim of this article is to address the methodology behind de-arbitraging a realistic volatility surface and stressing it without adding arbitrages. We derive from basic principles the constraints which the changes on the strike and the tenor axis must satisfy in order to make a volatility...

The aim of this article is to introduce a new parametrization of the implied volatility surface (IVP), which builds on the gSVI methodology recently introduced but incorporates novel features like a bid-ask model and the methodology behind de-arbitraging a volatility surface and stressing it...