On VIX futures in the rough Bergomi model

DOI10.1080/14697688.2017.1353127MaRDI QIDQ4957230zbMATH OpenOpenAlexFDO

Authors Antoine Jacquier, Claude Martini, Aitor Muguruza

Publication date 3 September 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/50070

zbMATH Keywords

fractional Brownian motionimplied volatilityVIX futuresrough BergomiVIX smile

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
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• scientific article; zbMATH DE number 961607 (Why is no real title available?)
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• Arbitrage-free SVI volatility surfaces
• Asymptotic analysis for stochastic volatility: martingale expansion
• Hybrid scheme for Brownian semistationary processes
• Long memory continuous time models
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Quelques applications de la formule de changement de variables pour les semimartingales
• The log-normal approximation in financial and other computations
• Volatility is rough

Cited in

(18)

• Impact of rough stochastic volatility models on long-term life insurance pricing
• Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
• On VIX futures in the rough Bergomi model
• Joint modeling and calibration of SPX and VIX by optimal transport
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
• Forward variance dynamics: Bergomi's model revisited
• Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
• VIX pricing in the rBergomi model under a regime switching change of measure
• Weak approximations and VIX option price expansions in forward variance curve models
• On the martingale property in the rough Bergomi model
• Deep Curve-Dependent PDEs for Affine Rough Volatility
• Functional central limit theorems for rough volatility
• Volatility options in rough volatility models
• Turbocharging Monte Carlo pricing for the rough Bergomi model
• Functional quantization of rough volatility and applications to volatility derivatives
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• Consistent time‐homogeneous modeling of SPX and VIX derivatives
• On smile properties of volatility derivatives: understanding the VIX skew

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