{"id":"W2083229504","doi":"10.1142/s0219024908004993","title":"A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE","year":2008,"lang":"en","type":"article","venue":"International Journal of Theoretical and Applied Finance","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"Western University","funders":"","keywords":"Local volatility; Implied volatility; Volatility (finance); Volatility smile; Econometrics; Volatility swap; Forward volatility; Ansatz; Economics; Variance swap; Stochastic volatility; Mathematics; Applied mathematics; Mathematical optimization","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0001501814,0.0000681922,0.0002141345,0.00003258645,0.000051629,0.00001040352,0.0003464895,0.00004783204,0.00004844816],"category_scores_gemma":[0.0001110162,0.00005367896,0.00008848457,0.0001294852,0.000400594,0.00006532656,0.00007459295,0.0001327531,0.000007063851],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00002591268,"about_ca_system_score_gemma":0.00004607923,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00002449107,"about_ca_topic_score_gemma":6.498022e-7,"domain_scores_codex":[0.9991725,0.000002932048,0.0005230941,0.0001259398,0.00009418319,0.00008136408],"domain_scores_gemma":[0.9991804,0.00007961645,0.0004775875,0.0001170486,0.0001085948,0.00003678671],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00007807954,0.00003869651,0.002162223,0.000002822836,0.00001833491,9.828537e-7,0.0001534783,0.0001644358,0.00009390453,0.9935292,0.000166666,0.003591168],"study_design_scores_gemma":[0.0004443461,0.00002795297,0.02999109,0.00001774964,0.000004778079,0.00005384229,0.00001827095,0.001328444,0.001831829,0.9643444,0.001871121,0.00006614211],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2944773,0.0003686316,0.6998556,0.001679968,0.0002239947,0.00006482632,0.00002436315,0.000002722458,0.003302597],"genre_scores_gemma":[0.9939781,0.0001371822,0.00558103,0.0001091811,0.0001143261,0.000001524523,6.702264e-7,0.000004969419,0.00007302825],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.6995008,"threshold_uncertainty_score":0.2188964,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01531643658792147,"score_gpt":0.2324431534710567,"score_spread":0.2171267168831352,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}