CVI is an algorithm for constructing implied volatility surfaces that is framed as a convex optimisation problem. As such, it is suitable to be processed by modern optimisation solvers like CVXPY, ...

We can see the difference between SVI and spline more clearly here. As expected, SVI curves show nice “smiles.” On the other hand, the spline follows the datapoints more closely but can go only as far ...

Fast, accurate and arbitrage-free volatility surface fitting remains a core challenge for options desks. Fabrice Deschâtres presents convex volatility interpolation (CVI), a framework that casts the ...

Old Bridge Mutual Fund has announced the launch of its Old Bridge Arbitrage Fund, a low-risk, short-term investment option designed for investors seeking stable, tax-efficient income without taking on ...

Negative arbitrage occurs when the cost of borrowing money is higher than the return earned on investments made with the borrowed funds. This situation can lead to financial losses for investors and ...

Prediction markets have exploded in popularity, with platforms like Polymarket and Kalshi processing billions in trades on everything. From elections to Federal Reserve decisions. But beneath the ...