Fabrice Deschâtres, founder of Volptima and a former Goldman Sachs quant, has developed convex volatility interpolation (CVI), an algorithm to build implied volatility surfaces by framing the fit as a ...
$$ \begin{array}{ll} \text{minimize} & f_0(x, y)\\ \text{subject to} & f_i(x, y) \leq 0,\quad i = 1, \ldots, m\\ & h_i(x, y) = 0,\quad i = 1, \ldots, p, \end{array ...
if self.G.ndim != 2: raise ValueError("Generators must be 2D") if self.G.shape[0] != self.c.shape[0]: raise ValueError("Dim mismatch center/gen") ...
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