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We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options.
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E. Alòs and K. Shiraya. Estimating the Hurst parameter from short term volatility swaps. CARF Working Paper: CARF-F-407. Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, 2017
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E. Alòs and C. O. Ewald. Malliavin differentiability of the Heston volatility and applications to option pricing. Advances in Applied Probability 40 (1): 144-162, 2008
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M. Fukasawa. Asymptotic analysis for stochastic volatility: martingale expansion. Finance and Stochastics
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J. Baldeaux and A. Badran. Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model. Applied Mathematical Finance, 21(4): 299-312, 2014
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P. Carr and D. Madan. Joint modeling of VIX and SPX options at a single and common maturity with risk management applications. IIE Transactions
2014
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E. Alòs and T. Rheinländer. ”On Margrabe options written on stochastic volatility models.” Preprint http://www. econ. upf. edu/docs/papers/downloads/1475. pdf (2015)
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C. Bayer, P. Friz and J. Gatheral. Pricing under rough volatility. Quantitative Finance
2015
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E. De Marco. VIX derivatives in rough forward variance models. Presentation, Bachelier Congress, Dublin, 2018
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J. Gatheral, T. Jaisson and M. Rosenbaum. Volatility is rough. Quantitative Finance
2018
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J. Guyon. On the Joint Calibration of SPX and VIX Options. Presentation, Bachelier Congress, Dublin, 2018
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A. Jacquier, C. Martini and A. Muguruza. On VIX futures in the rough Bergomi model. Quant. Finance
2018
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