{"id":"https://openalex.org/W3156326479","doi":"https://doi.org/10.1137/20m136089x","title":"Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles","display_name":"Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles","publication_year":2021,"publication_date":"2021-01-01","ids":{"openalex":"https://openalex.org/W3156326479","doi":"https://doi.org/10.1137/20m136089x","mag":"3156326479"},"language":"en","primary_location":{"id":"doi:10.1137/20m136089x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m136089x","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/A5001826114","display_name":"Mehdi El Amrani","orcid":"https://orcid.org/0000-0003-3851-7999"},"institutions":[{"id":"https://openalex.org/I4210128584","display_name":"The Alan Turing Institute","ror":"https://ror.org/035dkdb55","country_code":"GB","type":"facility","lineage":["https://openalex.org/I4210128584"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Mehdi El Amrani","raw_affiliation_strings":["NewYork University","Department of Mathematics, Imperial College London, and Alan Turing Institute"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"NewYork University","institution_ids":[]},{"raw_affiliation_string":"Department of Mathematics, Imperial College London, and Alan Turing Institute","institution_ids":["https://openalex.org/I4210128584","https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5019481499","display_name":"Antoine Jacquier","orcid":"https://orcid.org/0000-0003-3986-3201"},"institutions":[{"id":"https://openalex.org/I4210128584","display_name":"The Alan Turing Institute","ror":"https://ror.org/035dkdb55","country_code":"GB","type":"facility","lineage":["https://openalex.org/I4210128584"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Antoine Jacquier","raw_affiliation_strings":["NewYork University","Department of Mathematics, Imperial College London, and Alan Turing Institute"],"raw_orcid":"https://orcid.org/0000-0003-3986-3201","affiliations":[{"raw_affiliation_string":"NewYork University","institution_ids":[]},{"raw_affiliation_string":"Department of Mathematics, Imperial College London, and Alan Turing Institute","institution_ids":["https://openalex.org/I4210128584","https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049214900","display_name":"Claude Martini","orcid":"https://orcid.org/0000-0001-5124-0774"},"institutions":[{"id":"https://openalex.org/I4210128584","display_name":"The Alan Turing Institute","ror":"https://ror.org/035dkdb55","country_code":"GB","type":"facility","lineage":["https://openalex.org/I4210128584"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Claude Martini","raw_affiliation_strings":["Department of Mathematics, Imperial College London, and Alan Turing Institute","NewYork University"],"raw_orcid":"https://orcid.org/0000-0001-5124-0774","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College London, and Alan Turing Institute","institution_ids":["https://openalex.org/I4210128584","https://openalex.org/I47508984"]},{"raw_affiliation_string":"NewYork University","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.3015,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.73860348,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"12","issue":"2","first_page":"SC1","last_page":"SC15"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9854999780654907,"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/T10591","display_name":"Theoretical and Computational Physics","score":0.9718000292778015,"subfield":{"id":"https://openalex.org/subfields/3104","display_name":"Condensed Matter Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6944583058357239},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.6224106550216675},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.5440470576286316},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.4923032522201538},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4867525100708008},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.46081632375717163},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.4394473433494568},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4097938537597656}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6944583058357239},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.6224106550216675},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5440470576286316},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.4923032522201538},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4867525100708008},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.46081632375717163},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.4394473433494568},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4097938537597656}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/20m136089x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m136089x","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"},{"id":"pmh:oai:spiral.imperial.ac.uk:10044/1/88032","is_oa":false,"landing_page_url":"http://hdl.handle.net/10044/1/88032","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":"15","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5696936935","display_name":null,"funder_award_id":"EP/T032146/1","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":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W2116285217","https://openalex.org/W2136926358","https://openalex.org/W2171611958","https://openalex.org/W2962994362","https://openalex.org/W2963576287","https://openalex.org/W2964348725","https://openalex.org/W3100730164","https://openalex.org/W3122174940","https://openalex.org/W3122993983","https://openalex.org/W3125090498","https://openalex.org/W3126054835","https://openalex.org/W3126103175"],"related_works":["https://openalex.org/W2070862805","https://openalex.org/W4238263089","https://openalex.org/W2549845650","https://openalex.org/W3180933049","https://openalex.org/W1601881750","https://openalex.org/W3124537231","https://openalex.org/W3122176587","https://openalex.org/W1588152617","https://openalex.org/W2121246931","https://openalex.org/W4390671392"],"abstract_inverted_index":{"We":[0],"develop":[1],"a":[2],"dynamic":[3],"version":[4],"of":[5,26,48,68,83,86],"the":[6,10,24,34,37,46,49,66,84,87,92],"SSVI":[7],"parameterization":[8],"for":[9,58],"total":[11,38],"implied":[12,39,69],"variance,":[13],"ensuring":[14],"that":[15,36,53],"European":[16],"vanilla":[17],"option":[18],"prices":[19],"are":[20],"martingales,":[21],"hence":[22],"preventing":[23],"occurrence":[25],"arbitrage,":[27],"both":[28],"static":[29],"and":[30],"dynamic.":[31],"Insisting":[32],"on":[33],"constraint":[35],"variance":[40],"needs":[41],"to":[42,65],"be":[43],"null":[44],"at":[45],"maturity":[47],"option,":[50],"we":[51],"show":[52],"no":[54],"model---in":[55],"our":[56],"setting---allows":[57],"such":[59],"behavior.":[60],"This":[61],"naturally":[62],"gives":[63],"rise":[64],"concept":[67],"volatility":[70],"bubbles,":[71],"whereby":[72],"trading":[73],"in":[74],"an":[75],"arbitrage-free":[76],"way":[77,93],"is":[78],"only":[79],"possible":[80],"during":[81],"part":[82],"life":[85],"contract,":[88],"but":[89],"not":[90],"all":[91],"until":[94],"expiry.":[95]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
