On VIX futures in the rough Bergomi model
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Publication:4957230
DOI10.1080/14697688.2017.1353127zbMATH Open1469.91055OpenAlexW2576267689MaRDI QIDQ4957230FDOQ4957230
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
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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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Cited In (18)
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Functional central limit theorems for rough volatility
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- Forward variance dynamics: Bergomi's model revisited
- On smile properties of volatility derivatives: understanding the VIX skew
- Volatility options in rough volatility models
- 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
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- Deep Curve-Dependent PDEs for Affine Rough Volatility
- On the martingale property in the rough Bergomi model
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Joint modeling and calibration of SPX and VIX by optimal transport
- Consistent time‐homogeneous modeling of SPX and VIX derivatives
- On VIX futures in the rough Bergomi model
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Impact of rough stochastic volatility models on long-term life insurance pricing
- Functional quantization of rough volatility and applications to volatility derivatives
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