Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets

Cites Work

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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

Adam

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