Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
From MaRDI portal
Publication:5041663
DOI10.1080/14697688.2022.2081592zbMATH Open1500.91139OpenAlexW4283011320MaRDI QIDQ5041663FDOQ5041663
Authors: Sigurd Emil Rømer 
Publication date: 14 October 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2081592
Recommendations
- Volatility in financial markets: Stochastic models and empirical results
- Stochastic volatility models and the pricing of VIX options
- On the applicability of stochastic volatility models
- Empirical research on stochastic volatility model with cross-data
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pattern recognition and machine learning.
- Detailed error analysis for a fractional Adams method
- Volatility is rough
- Short-time at-the-money skew and rough fractional volatility
- A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
- Asymptotics for Rough Stochastic Volatility Models
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Hybrid scheme for Brownian semistationary processes
- Arbitrage-free SVI volatility surfaces
- Pricing under rough volatility
- Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime
- Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
- Markovian structure of the Volterra Heston model
- Lifting the Heston model
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
- Perfect hedging in rough Heston models
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
- The microstructural foundations of leverage effect and rough volatility
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Small‐time, large‐time, and asymptotics for the Rough Heston model
- Affine Volterra processes
- Volatility Options in Rough Volatility Models
- Multifactor Approximation of Rough Volatility Models
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Short-time near-the-money skew in rough fractional volatility models
- A regularity structure for rough volatility
- Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
- The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model
- Precise asymptotics: robust stochastic volatility models
- Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport
- On VIX futures in the rough Bergomi model
- Short-dated smile under rough volatility: asymptotics and numerics
- 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
Cited In (8)
- Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточности его инструментов
- Partial hedging in rough volatility models
- Approximation rates for deep calibration of (rough) stochastic volatility models
- Volatility is (mostly) path-dependent
- The rough Hawkes Heston stochastic volatility model
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
- Deep calibration with random grids
- Signature-Based Models: Theory and Calibration
Uses Software
This page was built for publication: Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5041663)
