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Pierre Cohort

  1. Robust calibration and arbitrage-free interpolation of SSVI slices
    2018/04/13 by Pierre Cohort, Jacopo Corbetta, Cohort, Pierre +5 · 1 citation
    Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #msc:91G60 #q-fin.CP #q-fin.MF #q-fin.PR