Pages that link to "Item:Q5019589"
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The following pages link to Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589):
Displayed 6 items.
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
- Signature-Based Models: Theory and Calibration (Q6048449) (← links)
- Volatility is (mostly) path-dependent (Q6053108) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)