WBS 22nd Quantitative Finance Conference · Valletta, Malta · 2 October 2026

Convex Volatility Interpolation

Slides from the WBS Quantitative Finance Conference 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. This version adds three slides on the maximum-skew constraint at the edge knots.