On VIX futures in the rough Bergomi model
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Publication:4554409
Abstract: The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the forward variance curve generated by this model, and develop efficient pricing algorithms for VIX futures and options. We further analyse the validity of the rough Bergomi model to jointly describe the VIX and the SPX, and present a joint calibration algorithm based on the hybrid scheme by Bennedsen, Lunde and Pakkanen.
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- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Option pricing under fast-varying and rough stochastic volatility
- Bounds for VIX futures given S{\&}P 500 smiles
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- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
- Asymptotic behaviour of randomised fractional volatility models
- Black-Scholes in a CEV random environment
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
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- Volatility options in rough volatility models
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Implied higher order moments in the Heston model: a case study of S\&P500 index
- Functional quantization of rough volatility and applications to volatility derivatives
- Infinite-dimensional polynomial processes
- Inversion of convex ordering in the VIX market
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Optimal hedging under fast-varying stochastic volatility
- Small-time moderate deviations for the randomised Heston model
- Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
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