Fetching the paper…
Reading the bibliography…
We consider a stochastic volatility model where the dynamics of the volatility are described by a linear function of the (time extended) signature of a primary process which is supposed to be a polynomial diffusion.
Integration of paths, geometric invariants and a generalized Baker-Hausdorff formula
K. T. Chen · 1957
Earlier work this paper cites.
Lie elements and an algebra associated with shuffles
R. Ree · 1958
Earlier work this paper cites.
Iterated path integrals
K. T. Chen · 1977
Earlier work this paper cites.
Stock price distributions with stochastic volatility: an analytic approach
E. M. Stein and J. C. Stein · 1991
Earlier work this paper cites.
A general version of the fundamental theorem of asset pricing
F. Delbaen and W. Schachermayer · 1994
Earlier work this paper cites.
The log contract
A. Neuberger · 1994
Earlier work this paper cites.
Stochastic analysis, rough path analysis and fractional brownian motions
L. Coutin and Z. Qian · 2002
Earlier work this paper cites.
Managing smile risk
P. S. Hagan, D. Kumar, A. S. Lesniewski, and D. Woodward · 2002
Earlier work this paper cites.
Problems in stochastic analysis. Connections between rough paths and non-commutative harmonic analysis
T. Fawcett · 2003
Earlier work this paper cites.
Nineteen dubious ways to compute the exponential of a matrix, twenty-five years later
C. Moler and C. Van Loan · 2003
Earlier work this paper cites.
Monte Carlo methods in financial engineering , volume 53
P. Glasserman · 2004
Earlier work this paper cites.
Cubature on Wiener space
T. Lyons and N. Victoir · 2004
Earlier work this paper cites.
Differential equations driven by rough paths
T. Lyons, M. Caruana, and T. Lévy · 2007
Earlier work this paper cites.
Consistent modeling of SPX and VIX options
J. Gatheral · 2008
Earlier work this paper cites.
VIX option pricing in a jump-diffusion model
A. Sepp · 2008
Earlier work this paper cites.
Numerical mathematics , volume 37
A. Quarteroni, R. Sacco, and F. Saleri · 2010
Earlier work this paper cites.
The volatility surface: a practitioner’s guide
J. Gatheral · 2011
Earlier work this paper cites.
Trading VIX derivatives: trading and hedging strategies using VIX futures, options, and exchange-traded notes , volume 503
R. Rhoads · 2011
Earlier work this paper cites.
Polynomial processes and their applications to mathematical finance
C. Cuchiero, M. Keller-Ressel, and J. Teichmann · 2012
Earlier work this paper cites.
A consistent pricing model for index options and volatility derivatives
R. Cont and T. Kokholm · 2013
Earlier work this paper cites.
Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
J. Baldeaux and A. Badran · 2014
Earlier work this paper cites.
A regime-switching Heston model for VIX and S&P 500 implied volatilities
A. Papanicolaou and R. Sircar · 2014
Earlier work this paper cites.
Strict local martingales and bubbles
C. Kardaras, D. Kreher, and A. Nikeghbali · 2015
Earlier work this paper cites.
Joint pricing of VIX and SPX options with stochastic volatility and jump models
T. Kokholm and M. Stisen · 2015
Cited alongside, same era.
Expected signature of Brownian motion up to the first exit time from a bounded domain
T. Lyons and H. Ni · 2015
Cited alongside, same era.
Pricing under rough volatility
C. Bayer, P. Friz, and J. Gatheral · 2016
Cited alongside, same era.
The signature of a rough path: uniqueness
H. Boedihardjo, X. Geng, T. Lyons, and D. Yang · 2016
Cited alongside, same era.
Polynomial diffusions and applications in finance
D. Filipović and M. Larsson · 2016
Cited alongside, same era.
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
J.-P. Fouque and Y. Saporito · 2018
Cited alongside, same era.
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
S. Rømer · 2022
Later among the works it cites.
Deep calibration of the quadratic rough Heston model
M. Rosenbaum and J. Zhang · 2022
Later among the works it cites.
Randomized signature methods in optimal portfolio selection
E. Akyildirim, M. Gambara, J. Teichmann, and S. Zhou · 2023
Closest in time.
Optimal stopping with signatures
C. Bayer, P. P. Hager, S. Riedel, and J. Schoenmakers · 2023
Closest in time.
Nowcasting with signature methods
S. N. Cohen, S. Lui, W. Malpass, G. Mantoan, L. Nesheim, A. de Paula, A. Reeves, C. Scott, E. Small, and L. Yang · 2023
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Volatility is rough
J. Gatheral, T. Jaisson, and M. Rosenbaum · 2018
Cited alongside, same era.
Smiling twice: the Heston++ model
C. Pacati, G. Pompa, and R. Renò · 2018
Cited alongside, same era.
The iisignature library: efficient calculation of iterated-integral signatures and log signatures
J. Reizenstein and B. Graham · 2018
Cited alongside, same era.
Computing the matrix exponential with an optimized taylor polynomial approximation
P. Bader, S. Blanes, and F. Casas · 2019
Cited alongside, same era.
On deep calibration of (rough) stochastic volatility models
C. Bayer, B. Horvath, A. Muguruza, B. Stemper, and M. Tomas · 2019
Cited alongside, same era.
A data-driven market simulator for small data environments
H. Buehler, B. Horvath, T. Lyons, I. Perez Arribas, and B. Wood · 2020
Cited alongside, same era.
E. M. Compagnoni, A. Scampicchio, L. Biggio, A. Orvieto, T. Hofmann, and J. Teichmann · 2023
Closest in time.
Quadratic variation and quadratic roughness
R. Cont and P. Das · 2023
Closest in time.
Signature Methods in Stochastic Portfolio Theory
C. Cuchiero and J. Möller · 2023
Closest in time.
From constant to rough: A survey of continuous volatility modeling
G. Di Nunno, K. Kubilius, Y. Mishura, and A. Yurchenko-Tytarenko · 2023
Closest in time.
Robust pricing and hedging via neural SDEs
P. Gierjatowicz, M. Sabate-Vidales, D. Siska, L. Szpruch, and Z. Zuric · 2023
Closest in time.
VIX pricing in the rBergomi model under a regime switching change of measure
H. Guerreiro and J. Guerra · 2023
Closest in time.
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
J. Guyon · 2023
Closest in time.
Volatility is (mostly) path-dependent
J. Guyon and J. Lekeufack · 2023
Closest in time.
Neural joint S&P 500/VIX smile calibration
J. Guyon and S. Mustapha · 2023
Closest in time.
Generating drawdown-realistic financial price paths using path signatures
E. Lemahieu, K. Boudt, and M. Wyns · 2023
Closest in time.
Sig-Wasserstein GANs for conditional time series generation
S. Liao, H. Ni, M. Sabate-Vidales, L. Szpruch, M. Wiese, and B. Xiao · 2023
Closest in time.
Optimal Entry and Exit with Signature in Statistical Arbitrage
B. Ning, P. Chakraborty, and K. Lee · 2023
Closest in time.
Things we think we know
L. Rogers · 2023
Closest in time.
Sig-Splines: universal approximation and convex calibration of time series generative models
M. Wiese, P. Murray, and R. Korn · 2023
Closest in time.
On the Wiener chaos expansion of the signature of a Gaussian process
T. Cass and E. Ferrucci · 2024
Closest in time.
Pricing and calibration in the 4-factor path-dependent volatility model
G. Gazzani and J. Guyon · 2024
Closest in time.
Fast exact joint S&P 500/VIX smile calibration in discrete and continuous time
F. Bourgey and J. Guyon · 2024
Closest in time.