The Spectral Volatility Surface
Mathematics verified. Core theorems are machine-checked in Lean 4.
Prose and presentation may not have been human-reviewed.
Summary
We introduce a low-rank implied-variance surface in which total variance is represented as
\[
w(k, T) = c(T) + \sum_{j=1}^{r} u_j(T)\cos(\omega_j k),
\]
with structural constraints enforced directly on the coefficient vectors. The resulting object is not a new stochastic-volatility law.
Length
3,346 words
Status
Draft