We now have on many of the leading underlying securities some few thousand options quoted across thirty maturities stretching from a few days to around two and half years. It is also known that the quotes are free of arbitrage if and only if the quoted prices are consistent with a one dimensional Markov martingale model for the evolution of the underlying stock price. Furthermore, it is generally believed that the surface of option prices are not an object of dimension equal to a few thousand parameters.

Papers are sought that create low dimensional dynamics in terms of parameters for a one dimensional Markov martingale consistent with the thousands of options quoted on various underliers. A special issue of the  Journal of Risk and Financial Management will be dedicated to this problem.

Data for the calibration of models will be provided and all researchers can work on the same data in reporting their model creations and the associated calibrations. It is hoped the effort produces parsimonious models capable of matching market data. Other papers on option pricing not connected with this project are also welcome. The data along with a discussion forum are available at the website mamamomama:org.
Submissions are due by May 31 2019.