Mixture-Preserving, Arbitrage-Free Interpolation for Volatility-Surface Models

By Thijs van den Berg

Published 2026-06-15

Everscope rating

1870.8

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

4 / 5

About this paper

Methodology: Frozen-Pool Chord Interpolation. Problem types: Density Estimation, Risk Management, Optimization, Interpolation.

arXiv:2606.12717 · Paper rankings

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