A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives

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Convergence of Heston to SVI (2010, methodology): “From Gatheral (2004), the standard SVI parameterization in terms of the log-strike k reads 2 SVIðkÞ 1⁄4 aþ b ~ ðk mÞ þ ffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi ðk mÞ(2) þ ~ 2 q : ð12Þ”
Arbitrage-free SVI volatility surfaces (2012, methodology): “The stochastic volatility inspired or SVI parameterization of the implied volatility smile was originally devised at Merrill Lynch in 1999 and subsequently publicly disseminated in Gatheral (2004).”
Arbitrage-free smoothing of the implied volatility surface (2009, background): “The monotonicity property, which appears to have been found by a number of practitioners independently (Gatheral 2004, Kahalé 2004, Reiner 2004), must to our knowledge be credited to Reiner (2000).”