/SVI-Volatility-Surface-Calibration

SVI volatility surface model and an example of China 50ETF option

Primary LanguageJupyter Notebook

SVI Volatility Surface

The SVI model introduced by J. Gatheral and A. Jacquier.

Content

This repo include:

  • SVI model
  • An improved Quasi-Explicit model
  • China 50ETF option calibraiton
  • Butterfly arbitrage check
  • Calendar arbitrage check

Dependency

  • Python 3.6+
  • Numpy
  • Scipy
  • Pandas
  • Matplotlib

Reference

[1] J. Gatheral. A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives. Global Derivatives & Risk
[2] Zeliade Systems, Quasi-explicit calibration of Gatheral's SVI model, Zeliade white paper, 2009.
[3] Gatheral J. Lecture 2: The SVI arbitrage-free volatility surface parameterization. CFM-Imperial Distinguished Lecture Series, 2015.