International Conference on Computational Finance (ICCF26) · St Catherine's College, Oxford · 2 September 2026

Convex Volatility Interpolation

Slides from the ICCF26 talk. CVI casts volatility surface fitting as quadratic programming in variance space, with intuitive parameters and bid-ask-aware penalties. The fitted surface is arbitrage-free in strike and time, including in the tails, and calibrates in a fraction of a second.