Rough multi-factor volatility for SPX and VIX options
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Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites work
- A consistent pricing model for index options and volatility derivatives
- A martingale approach for fractional Brownian motions and related path dependent PDEs
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
- Asymptotic analysis for stochastic volatility: martingale expansion
- Asymptotic behavior of the fractional Heston model
- Asymptotic behaviour of randomised fractional volatility models
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Bounds for VIX futures given S{\&}P 500 smiles
- Computing the implied volatility in stochastic volatility models
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
- Extreme-strike comparisons and structural bounds for SPX and VIX options
- Functional quantization of rough volatility and applications to volatility derivatives
- Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
- Large and moderate deviations for stochastic Volterra systems
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- On smile properties of volatility derivatives: understanding the VIX skew
- On the curvature of the smile in stochastic volatility models
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- On VIX futures in the rough Bergomi model
- Pathwise large deviations for the rough Bergomi model
- Pricing options under rough volatility with backward SPDEs
- Pricing under rough volatility
- Random Fields and Geometry
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
- Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
- The characteristic function of rough Heston models
- The Malliavin Calculus and Related Topics
- The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework
- Volatility is rough
- Volatility options in rough volatility models
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