Explorations#
A collection of mathematical notes exploring questions that naturally arise when using hestonpy.
Each post mixes theory, intuition, and concrete code to dig into one specific question.
Is the implied volatility surface arbitrage-free?
We derive the conditions for a volatility surface to be free of butterfly and
calendar spread arbitrage. Starting from the Durrleman condition, we show how
SVI and SSVI parameterisations naturally handle — or violate — these constraints,
and how to check them numerically with hestonpy.