Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A consistent pricing model for index options and volatility derivatives
- A regularity structure for rough volatility
- Affine Volterra processes
- Arbitrage-free SVI volatility surfaces
- Asymptotics for Rough Stochastic Volatility Models
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
- Detailed error analysis for a fractional Adams method
- Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Hybrid scheme for Brownian semistationary processes
- Inversion of convex ordering in the VIX market
- Joint modeling and calibration of SPX and VIX by optimal transport
- Lifting the Heston model
- Markovian structure of the Volterra Heston model
- Multifactor approximation of rough volatility models
- On VIX futures in the rough Bergomi model
- On smile properties of volatility derivatives: understanding the VIX skew
- Pattern recognition and machine learning.
- Perfect hedging in rough Heston models
- Precise asymptotics: robust stochastic volatility models
- Pricing under rough volatility
- Rational approximation of the rough Heston solution
- Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime
- Short-dated smile under rough volatility: asymptotics and numerics
- Short-term at-the-money asymptotics under stochastic volatility models
- Short-time at-the-money skew and rough fractional volatility
- Short-time near-the-money skew in rough fractional volatility models
- Small‐time, large‐time, and asymptotics for the Rough Heston model
- The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- The microstructural foundations of leverage effect and rough volatility
- Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Volatility is rough
- Volatility options in rough volatility models
Cited in
(26)- Signature-Based Models: Theory and Calibration
- Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточности его инструментов
- Robustness and sensitivity analyses of rough Volterra stochastic volatility models
- Change of measure in a Heston-Hawkes stochastic volatility model
- Implied roughness in the term structure of oil market volatility
- Partial hedging in rough volatility models
- Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities
- Pricing and calibration in the 4-factor path-dependent volatility model
- Joint SPX \& VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
- An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps
- Approximation rates for deep calibration of (rough) stochastic volatility models
- Volatility is (mostly) path-dependent
- Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
- A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
- Pricing of geometric Asian options in the Volterra-Heston model
- Risk premium and rough volatility
- The rough Hawkes Heston stochastic volatility model
- Sandwiched Volterra volatility model: Markovian approximations and hedging
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
- A survey of rough volatility
- Joint deep calibration of the 4-factor PDV model
- Deep calibration with random grids
- Joint calibration to SPX and VIX options with signature-based models
- Volatility models in practice: rough, path-dependent, or Markovian?
- Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles
- Short-time expansion of characteristic functions in a rough volatility setting with applications
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