{"id":"https://openalex.org/W3100730164","doi":"https://doi.org/10.1137/120900320","title":"Generalized Arbitrage-Free SVI Volatility Surfaces","display_name":"Generalized Arbitrage-Free SVI Volatility Surfaces","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W3100730164","doi":"https://doi.org/10.1137/120900320","mag":"3100730164"},"language":"en","primary_location":{"id":"doi:10.1137/120900320","is_oa":true,"landing_page_url":"https://doi.org/10.1137/120900320","pdf_url":"https://epubs.siam.org/doi/pdf/10.1137/120900320","source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://epubs.siam.org/doi/pdf/10.1137/120900320","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Gaoyue Guo","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Gaoyue Guo","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":null,"display_name":"Antoine Jacquier","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Antoine Jacquier","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":null,"display_name":"Claude Martini","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Claude Martini","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":null,"display_name":"Leo Neufcourt","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Leo Neufcourt","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.7391,"has_fulltext":true,"cited_by_count":23,"citation_normalized_percentile":{"value":0.91075763,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"7","issue":"1","first_page":"619","last_page":"641"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5205000042915344,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5205000042915344,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10588","display_name":"Mathematical Dynamics and Fractals","score":0.09080000221729279,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10884","display_name":"Holomorphic and Operator Theory","score":0.08219999819993973,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.7028999924659729},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.678600013256073},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.5856999754905701},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.5400999784469604},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.49050000309944153},{"id":"https://openalex.org/keywords/generalization","display_name":"Generalization","score":0.44589999318122864},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.42719998955726624}],"concepts":[{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.7028999924659729},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.678600013256073},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5906000137329102},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5856999754905701},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.5400999784469604},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5038999915122986},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.49050000309944153},{"id":"https://openalex.org/C177148314","wikidata":"https://www.wikidata.org/wiki/Q170084","display_name":"Generalization","level":2,"score":0.44589999318122864},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.42719998955726624},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.37209999561309814},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.37130001187324524},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3440999984741211},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.3312999904155731},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3310999870300293},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.32179999351501465},{"id":"https://openalex.org/C90087638","wikidata":"https://www.wikidata.org/wiki/Q7268374","display_name":"Quadratic variation","level":3,"score":0.3122999966144562},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.290800005197525},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.2854999899864197},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.27900001406669617}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1137/120900320","is_oa":true,"landing_page_url":"https://doi.org/10.1137/120900320","pdf_url":"https://epubs.siam.org/doi/pdf/10.1137/120900320","source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1210.7111","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1210.7111","pdf_url":"https://arxiv.org/pdf/1210.7111","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:HAL:hal-05564337v1","is_oa":true,"landing_page_url":"https://hal.science/hal-05564337","pdf_url":"https://hal.science/hal-05564337v1/document","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2016, 7 (1), pp.619-641. ⟨10.1137/120900320⟩","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:spiral.imperial.ac.uk:10044/1/33372","is_oa":false,"landing_page_url":"http://hdl.handle.net/10044/1/33372","pdf_url":null,"source":{"id":"https://openalex.org/S4306401396","display_name":"Spiral (Imperial College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I47508984","host_organization_name":"Imperial College London","host_organization_lineage":["https://openalex.org/I47508984"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"641","raw_type":"Journal Article"}],"best_oa_location":{"id":"doi:10.1137/120900320","is_oa":true,"landing_page_url":"https://doi.org/10.1137/120900320","pdf_url":"https://epubs.siam.org/doi/pdf/10.1137/120900320","source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5069498432","display_name":"Asymptotics and dynamics of forward implied volatility","funder_award_id":"EP/M008436/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G6011270102","display_name":null,"funder_award_id":"EP/M008436/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"}],"funders":[{"id":"https://openalex.org/F4320334627","display_name":"Engineering and Physical Sciences Research Council","ror":"https://ror.org/0439y7842"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W3100730164.pdf"},"referenced_works_count":14,"referenced_works":["https://openalex.org/W1966935143","https://openalex.org/W1967918160","https://openalex.org/W1990724972","https://openalex.org/W1994438934","https://openalex.org/W2014897999","https://openalex.org/W2023954863","https://openalex.org/W2034258633","https://openalex.org/W2054646230","https://openalex.org/W2067602260","https://openalex.org/W2113562192","https://openalex.org/W2119074269","https://openalex.org/W2146840878","https://openalex.org/W3123241629","https://openalex.org/W3126103175"],"related_works":[],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"we":[3],"propose":[4],"a":[5],"generalization":[6],"of":[7,30,40,62,68],"the":[8,38,49],"recent":[9,50],"work":[10],"by":[11,52],"Gatheral":[12,16],"and":[13,17,43,64],"Jacquier":[14],"[J.":[15],"A.":[18],"Jacquier,":[19],"Quant.":[20],"Finance,":[21],"14":[22],"(2014),":[23],"pp.":[24],"59--71]":[25],"on":[26],"explicit":[27],"arbitrage-free":[28,81],"parameterizations":[29],"implied":[31],"volatility":[32,82],"surfaces.":[33],"We":[34,77],"also":[35],"discuss":[36],"extensively":[37],"notion":[39],"arbitrage":[41],"freeness":[42],"Roger":[44],"Lee's":[45],"moment":[46],"formula":[47],"using":[48],"analysis":[51],"Roper":[53],"[M.":[54],"Roper,":[55],"Arbitrage-Free":[56],"Implied":[57],"Volatility":[58],"Surfaces,":[59],"preprint,":[60],"School":[61],"Mathematics":[63],"Statistics,":[65],"The":[66],"University":[67],"Sydney,":[69,70],"New":[71],"South":[72],"Wales,":[73],"Australia,":[74],"2010,":[75],"\u016dlhttp://www.maths.usyd.edu.au/u/pubs/publist/preprints/2010/roper-9.pdf].":[76],"further":[78],"exhibit":[79],"an":[80],"surface":[83],"different":[84],"from":[85],"Gatheral's":[86],"SVI":[87],"parameterization.":[88]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2}],"updated_date":"2026-07-07T14:30:12.667765","created_date":"2020-11-23T00:00:00"}