Articles by Valer Zetocha
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived