No arbitrage global parametrization for the eSSVI volatility surface
提出eSSVI隐含波动率曲面的全局无套利参数化方法，可同时校准所有期限，保证无套利拟合市场数据，对量化金融从业者有用。
This article describes a global and arbitrage-free parametrization of the eSSVI implied volatility surfaces introduced by Hendriks and Martini [The extended SSVI volatility surface. J. Comput. Finance, 2019, 22, 25–39]. A calibration of such surfaces has already been proposed by the quantitative research team at Zeliade Systems [Cohort et al., Robust calibration and arbitrage-free interpolation of SSVI slices. Decisions Econ. Finance, 2019, 42, 665–677], but the calibration algorithm is sequential in expiries (one maturity is calibrated after the other), lacking a global view on the surface. The alternative calibration suggested in this article targets all maturities at once and always guarantees an arbitrage-free fit of market data.