Pages that link to "Item:Q5139256"

The following pages link to Inversion of convex ordering in the VIX market (Q5139256):

Displaying 9 items.

• Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
• On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures (Q5112529) (← links)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
• Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)
• A general framework for a joint calibration of VIX and VXX options (Q6549588) (← links)
• The rough Hawkes Heston stochastic volatility model (Q6641084) (← links)
• Joint calibration to SPX and VIX options with signature-based models (Q6667578) (← links)