Research topic
volatility
SVI and the No-Arbitrage Volatility Surface
The raw SVI parametrization is five numbers per slice. Keeping a fitted surface free of butterfly and calendar arbitrage is where the real work — and the real math — lives.
Wavelet-Domain Regime Detection with the MODWT
Markets change character at different speeds. The MODWT splits a return series into scale components whose variances add up exactly — which turns a vague question about regimes into an estimable one.