Financial Engineering Workshops - Fabrice Deschâtres (CEO of Volptima)

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Workshop

Wed, Dec 9, 2026

6 PM – 7 PM (GMT+0)

Bayes Business School, 106 Bunhill Row
Room 2005 Bunhill Row

106 Bunhill Row, London EC1Y 8TZ, UK

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Sales Start - Sales End Dec 9, 2026 at 3 PM Availability Spots Left Price FREE
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Details

Abstract: Convex volatility interpolation (CVI) casts the problem of fitting arbitrage-free implied volatility surfaces as quadratic programming in variance space. It introduces a dual parametrisation in cubic spline and B-spline spaces, mapping intuitive, dimensionless parameters to the weights of basis functions. Static arbitrage constraints, butterfly and calendar spread, are enforced through linear inequalities. This paper derives and linearises the no-butterfly-arbitrage constraints within the CVI cubic spline parameter space. Notably, the no-butterfly-arbitrage condition is derived in closed form in the linear variance extrapolation region beyond the edge knots. The formulation is model-free, bid-ask-aware, and requires no hyperparameter tuning, working consistently across underlyings. Convexity guarantees a unique global optimum, eliminating the calibration fragility of parametric approaches. Using the Clarabel conic solver, CVI fits the full S&P 500 surface, 14,500 bid-ask quotes across 46 expiries, in 0.15 seconds.

Bio: Fabrice Deschâtres is the founder and CEO of Volptima, a Swiss fintech company commercialising Convex Volatility Interpolation (CVI), a high-performance, arbitrage-free volatility surface fitting methodology published in Risk.net's Cutting Edge section in February 2026. Before founding Volptima, Fabrice held quantitative roles in derivatives pricing at Goldman Sachs, Millennium and Flow Traders. He is a graduate of the École Normale Supérieure (Ulm).
 

Where

Bayes Business School, 106 Bunhill Row
Room 2005 Bunhill Row

106 Bunhill Row, London EC1Y 8TZ, UK

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