The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
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Cited in
(11)- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- On VIX futures in the rough Bergomi model
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- Forward variance dynamics: Bergomi's model revisited
- Bounds for VIX futures given S{\&}P 500 smiles
- On VIX futures in the rough Bergomi model
- A general framework for a joint calibration of VIX and VXX options
- VIX pricing in the rBergomi model under a regime switching change of measure
- Volatility is (mostly) path-dependent
- Weak approximations and VIX option price expansions in forward variance curve models
- Deep Curve-Dependent PDEs for Affine Rough Volatility
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