{"id":"https://openalex.org/W3023887377","doi":"https://doi.org/10.1137/20m1351060","title":"No Arbitrage SVI","display_name":"No Arbitrage SVI","publication_year":2022,"publication_date":"2022-03-01","ids":{"openalex":"https://openalex.org/W3023887377","doi":"https://doi.org/10.1137/20m1351060","mag":"3023887377"},"language":"it","primary_location":{"id":"doi:10.1137/20m1351060","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1351060","pdf_url":null,"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":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049214900","display_name":"Claude Martini","orcid":"https://orcid.org/0000-0001-5124-0774"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Claude Martini","raw_affiliation_strings":["Zeliade Systems"],"raw_orcid":"https://orcid.org/0000-0001-5124-0774","affiliations":[{"raw_affiliation_string":"Zeliade Systems","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053744833","display_name":"Arianna Mingone","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Arianna Mingone","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.7525,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.90325685,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"13","issue":"1","first_page":"227","last_page":"261"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"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":0.9984999895095825,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.991599977016449,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9864000082015991,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.7452138662338257},{"id":"https://openalex.org/keywords/index-arbitrage","display_name":"Index arbitrage","score":0.5434830188751221},{"id":"https://openalex.org/keywords/moneyness","display_name":"Moneyness","score":0.49566805362701416},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.48509299755096436},{"id":"https://openalex.org/keywords/statistical-arbitrage","display_name":"Statistical arbitrage","score":0.4450221359729767},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.42773470282554626},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4155104160308838},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.35940128564834595},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.3191371262073517},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.26658937335014343},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.17468851804733276},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.10364013910293579}],"concepts":[{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.7452138662338257},{"id":"https://openalex.org/C52008547","wikidata":"https://www.wikidata.org/wiki/Q6017830","display_name":"Index arbitrage","level":5,"score":0.5434830188751221},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.49566805362701416},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.48509299755096436},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.4450221359729767},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.42773470282554626},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4155104160308838},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.35940128564834595},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.3191371262073517},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.26658937335014343},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.17468851804733276},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.10364013910293579}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/20m1351060","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1351060","pdf_url":null,"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"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W297795963","https://openalex.org/W655100774","https://openalex.org/W1497849985","https://openalex.org/W1523491351","https://openalex.org/W2259942204","https://openalex.org/W2593316592","https://openalex.org/W2683536169","https://openalex.org/W2924562342","https://openalex.org/W2964348725","https://openalex.org/W2975994083","https://openalex.org/W2980384963","https://openalex.org/W3100730164","https://openalex.org/W3122993983","https://openalex.org/W3123241629","https://openalex.org/W3124678017","https://openalex.org/W3124738415","https://openalex.org/W3125367209","https://openalex.org/W3125690924","https://openalex.org/W3126103175","https://openalex.org/W4252536529"],"related_works":["https://openalex.org/W634388619","https://openalex.org/W2363171451","https://openalex.org/W3047082672","https://openalex.org/W2355276924","https://openalex.org/W2595720733","https://openalex.org/W565783421","https://openalex.org/W4235918021","https://openalex.org/W2134058467","https://openalex.org/W2134645398","https://openalex.org/W2485088106"],"abstract_inverted_index":{"We":[0],"fully":[1],"characterize":[2],"the":[3,9,32,47,51,56,63,73,81,93,107,117,126],"absence":[4],"of":[5,31,50,55,62,72,80,101],"butterfly":[6,133],"arbitrage":[7,37,109],"in":[8,22,44],"stochastic":[10],"volatility":[11],"inspired":[12],"(SVI)":[13],"formula":[14],"for":[15,35,39,122],"implied":[16],"total":[17],"variance":[18],"proposed":[19],"by":[20,42],"Gatheral":[21],"2004.":[23],"The":[24],"main":[25],"ingredient":[26],"is":[27],"an":[28,113],"intermediate":[29],"characterization":[30],"necessary":[33],"condition":[34,83],"no":[36,108,132],"obtained":[38],"any":[40],"model":[41],"Fukasawa":[43],"2012":[45],"that":[46],"inverse":[48],"functions":[49,61],"$-d_1$":[52],"and":[53,76],"$-d_2$":[54],"Black--Scholes":[57],"formula,":[58],"viewed":[59],"as":[60],"log-forward":[64],"moneyness,":[65],"should":[66],"be":[67],"increasing.":[68],"A":[69],"natural":[70],"rescaling":[71],"SVI":[74],"parameters":[75],"a":[77,98,102],"meticulous":[78],"analysis":[79],"Durrleman":[82],"allow":[84],"us":[85],"then":[86],"to":[87,97,128],"obtain":[88],"simple":[89],"range":[90],"conditions":[91],"on":[92,106,116],"parameters.":[94],"This":[95],"leads":[96],"straightforward":[99],"implementation":[100],"least-squares":[103],"calibration":[104],"algorithm":[105],"domain,":[110],"which":[111],"yields":[112],"excellent":[114],"fit":[115],"market":[118],"data":[119],"we":[120],"used":[121],"our":[123],"tests,":[124],"with":[125,131],"guarantee":[127],"yield":[129],"smiles":[130],"arbitrage.":[134]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2020-05-13T00:00:00"}
