The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885)

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scientific article; zbMATH DE number 7638217
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The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
scientific article; zbMATH DE number 7638217

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    The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (English)
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    4 January 2023
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    VIX
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    VIX futures
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    VIX power payoffs
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    Bergomi models
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    implied \(\mathrm{VIX}^2\) volatility
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    volatility-of-volatility expansion
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    at-the-money skew
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    S\&P 500/VIX joint calibration
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    path-dependent volatility
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    Hermite polynomials
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