Fetching the paper…
Reading the bibliography…
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic convolution between a kernel and a Brownian motion.
On a formula for the product-moment coefficient of any order of a normal frequency distribution in any number of variables
Leon Isserlis · 1918
Earlier work this paper cites.
On the convergence of ordinary integrals to stochastic integrals
Eugene Wong and Moshe Zakai · 1965
Earlier work this paper cites.
Exponential rate of convergence for Lloyd’s method I
J Kieffer · 1982
Earlier work this paper cites.
A long memory property of stock market returns and a new model
Zhuanxin Ding, Clive WJ Granger, and Robert F Engle · 1993
Earlier work this paper cites.
Option hedging and implied volatilities in a stochastic volatility model 1
Eric Renault and Nizar Touzi · 1996
Earlier work this paper cites.
Fractional Brownian motion and the Markov property
Philippe Carmona and Laure Coutin · 1998
Earlier work this paper cites.
Derivatives in financial markets with stochastic volatility
Jean-Pierre Fouque, George Papanicolaou, and K Ronnie Sircar · 2000
Earlier work this paper cites.
Foundations of quantization for probability distributions
Siegfried Graf and Harald Luschgy · 2000
Earlier work this paper cites.
Towards a theory of volatility trading
Peter Carr and Dilip Madan · 2001
Earlier work this paper cites.
Multiscale stochastic volatility asymptotics
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, and Knut Solna · 2003
Earlier work this paper cites.
Optimal quadratic quantization for numerics: the gaussian case
Gilles Pagès and Jacques Printems · 2003
Earlier work this paper cites.
Optimal quantization methods and applications to numerical problems in finance
Huyên Pham and Jacques Printems · 2004
Earlier work this paper cites.
Functional quantization for numerics with an application to option pricing
Gilles Pagès and Jacques Printems · 2005
Earlier work this paper cites.
http://www.quantize.maths-fi.com, 2005
Gilles Pagès and Jacques Printems · 2005
Earlier work this paper cites.
Econometrics of testing for jumps in financial economics using bipower variation
Ole E Barndorff-Nielsen and Neil Shephard · 2006
Earlier work this paper cites.
High resolution quantization and entropy coding for fractional brownian motion
Steffen Dereich and Michael Scheutzow · 2006
Earlier work this paper cites.
Consistent modeling of SPX and VIX options
Jim Gatheral · 2008
Earlier work this paper cites.
Quadratic optimal functional quantization of stochastic processes and numerical applications
Gilles Pages · 2008
Earlier work this paper cites.
Convergence of multi-dimensional quantized sde’s
Gilles Pagès and Afef Sellami · 2011
Earlier work this paper cites.
Stochastic volatility’s orderly smiles
Lorenzo Bergomi and Julien Guyon · 2012
Earlier work this paper cites.
Vector quantization and signal compression , volume 159
Allen Gersho and Robert M Gray · 2012
Earlier work this paper cites.
A consistent pricing model for index options and volatility derivatives
Rama Cont and Thomas Kokholm · 2013
Cited alongside, same era.
Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Jan Baldeaux and Alexander Badran · 2014
Cited alongside, same era.
A theory of regularity structures
M Hairer · 2014
Cited alongside, same era.
A regime-switching Heston model for VIX and S&P 500 implied volatilities
Andrew Papanicolaou and Ronnie Sircar · 2014
Cited alongside, same era.
Stochastic volatility modeling
Lorenzo Bergomi · 2015
Cited alongside, same era.
Joint pricing of vix and spx options with stochastic volatility and jump models
Thomas Kokholm and Martin Stisen · 2015
Cited alongside, same era.
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
Jim Gatheral, Paul Jusselin, and Mathieu Rosenbaum · 2020
Later among the works it cites.
The joint S&P 500/VIX smile calibration puzzle solved
Julien Guyon · 2020
Later among the works it cites.
Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
Eduardo Abi Jaber, Enzo Miller, and Huyên Pham · 2021
Later among the works it cites.
Log-modulated rough stochastic volatility models
Christian Bayer, Fabian A Harang, and Paolo Pigato · 2021
Later among the works it cites.
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Mikkel Bennedsen, Asger Lunde, and Mikko S Pakkanen · 2021
Later among the works it cites.
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Fast-reversion limit of the Heston model
Serguei Mechkov · 2015
Cited alongside, same era.
Pricing under rough volatility
Christian Bayer, Peter Friz, and Jim Gatheral · 2016
Cited alongside, same era.
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
Thibault Jaisson and Mathieu Rosenbaum · 2016
Cited alongside, same era.
Ryan Ferguson and Andrew Green · 2018
Cited alongside, same era.
Volatility is rough
Jim Gatheral, Thibault Jaisson, and Mathieu Rosenbaum · 2018
Cited alongside, same era.
Turbocharging monte carlo pricing for the rough bergomi model
Ryan McCrickerd and Mikko S Pakkanen · 2018
Cited alongside, same era.
Blanka Horvath, Aitor Muguruza, and Mehdi Tomas · 2021
Later among the works it cites.
Markovian approximation of the rough bergomi model for monte carlo option pricing
Qinwen Zhu, Grégoire Loeper, Wen Chen, and Nicolas Langrené · 2021
Later among the works it cites.
The characteristic function of Gaussian stochastic volatility models: an analytic expression
Eduardo Abi Jaber · 2022
Closest in time.
Joint modeling and calibration of SPX and VIX by Optimal Transport
Ivan Guo, Gregoire Loeper, Jan Obloj, and Shiyi Wang · 2022
Closest in time.
Dispersion-constrained Martingale Schrödinger bridges: Joint entropic calibration of stochastic volatility models to S&P 500 and VIX smiles
Julien Guyon · 2022
Closest in time.
Empirical analysis of rough and classical stochastic volatility models to the spx and vix markets
Sigurd Emil Rømer · 2022
Closest in time.
Deep calibration of the quadratic rough Heston model
Mathieu Rosenbaum and Jianfei Zhang · 2022
Closest in time.
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX
Eduardo Abi Jaber, Camille Illand, and Shaun (Xiaoyuan) Li · 2023
Closest in time.
Markovian approximations of stochastic Volterra equations with the fractional kernel
Christian Bayer and Simon Breneis · 2023
Closest in time.
Functional quantization of rough volatility and applications to the VIX
Ofelia Bonesini, Giorgia Callegaro, and Antoine Jacquier · 2023
Closest in time.
Joint calibration to SPX and VIX options with signature-based models
Christa Cuchiero, Guido Gazzani, Janka Möller, and Sara Svaluto-Ferro · 2023
Closest in time.
Volatility is (mostly) path-dependent
Julien Guyon and Jordan Lekeufack · 2023
Closest in time.
Neural joint S&P 500/VIX smile calibration
Julien Guyon and Scander Mustapha · 2023
Closest in time.
Reconciling rough volatility with jumps
Eduardo Abi Jaber and Nathan De Carvalho · 2024
Closest in time.
The rough Hawkes Heston stochastic volatility model
Bondi Alessandro, Pulido Sergio, Simone Scotti, et al · 2024
Closest in time.
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
Aurélien Alfonsi and Ahmed Kebaier · 2024
Closest in time.