A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration

By Pere Diaz-Lozano, Thomas K. Kloster

Published 2026-02-19

Everscope rating

2079.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Wiener Chaos Martingale Model. Problem types: Optimization, Density Estimation, Risk Management.

arXiv:2602.16232 · Paper rankings

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