CC
Charlie Che
q-fin.CPq-fin.MFmath.OCcs.DSquant-phecon.THmath.PRq-fin.RM
On Valency
published · living versionsW_ndrexc2t·v2 · currentpublished
Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
with Atithi Acharya, Yue Sun, Brandon Augustino, Shouvanik Chakrabarti +1
2 versions
Preprints & journals
7 papers in the corpus · 2026Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching2609.04087v2 · Atithi Acharya, Charlie Che, Yue Sun et al.2026 · 0 citationsarXivon Valency
Beyond the Skew-Stickiness Ratio: Transport Geometry of Spot-Driven Variance Surface Dynamics2608.12493v2 · Charlie Che, Pradeepta Das2026 · 0 citationsarXiv
Faster Algorithms for Multimarginal Optimal Transport2608.09513v2 · Brandon Augustino, Yue Sun, Atithi Acharya et al.2026 · 0 citationsarXiv
Arbitrage-Free Multi-Maturity Risk-Neutral Marginals2607.06204v1 · Hao Qin, Ruozhong Yang, Charlie Che et al.2026 · 0 citationsarXiv
SPX-VIX Risk Computations Via Perturbed Optimal Transport2603.10857v4 · Charlie Che, Hanxuan Lin, Yudong Yang et al.2026 · 0 citationsarXiv
Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation2602.02996v1 · Charlie Che, Tongseok Lim, Yue Sun2026 · 0 citationsarXiv
Quantum Speedups for Derivative Pricing Beyond Black-Scholes2602.03725v1 · Dylan Herman, Yue Sun, Jin-Peng Liu et al.2026 · 0 citationsarXiv
Career total: 7 works. 7 are in this corpus.
Profile built from the corpus for this byline.
Author records are still filling in while the Hub is in alpha. If this is your page, you'll be able to claim it soon. Spot a mistake? Tell us.