Volatility is (mostly) path-dependent
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Cites work
- A consistent pricing model for index options and volatility derivatives
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
- Approximate solution of the trust region problem by minimization over two-dimensional subspaces
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Complete Models with Stochastic Volatility
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
- scientific article; zbMATH DE number 6521211 (Why is no real title available?)
- Inversion of convex ordering in the VIX market
- Joint modeling and calibration of SPX and VIX by optimal transport
- Long memory in continuous-time stochastic volatility models
- Mimicking an Itō process by a solution of a stochastic differential equation
- Multifactor approximation of rough volatility models
- Nonparametric estimation for stochastic volatility models
- Quadratic ARCH Models
- Quadratic Hawkes processes for financial prices
- The detection and estimation of long memory in stochastic volatility
- The EWMA Heston model
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- The Zumbach effect under rough Heston
- Time reversal invariance in finance
- Volatility conditional on price trends
- Volatility is rough
Cited in
(30)- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- Log-normal stochastic volatility model with quadratic drift
- A general framework for a joint calibration of VIX and VXX options
- On the universality of the volatility formation process: when machine learning and rough volatility agree
- On the Guyon-Lekeufack volatility model
- The rough Hawkes Heston stochastic volatility model
- Path shadowing Monte Carlo
- Deep calibration with random grids
- Joint calibration to SPX and VIX options with signature-based models
- Occupied processes: going with the flow
- Risk premium and rough volatility
- Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels
- Volatility models in practice: rough, path-dependent, or Markovian?
- Primal and dual optimal stopping with signatures
- Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles
- Identifying the number of latent factors of stochastic volatility models
- A model of financial bubbles and drawdowns with non-local behavioral self-referencing
- A theoretical analysis of Guyon's toy volatility model
- 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
- Options-driven volatility forecasting
- Randomized signature methods in optimal portfolio selection
- 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
- Polynomial Volterra processes
- Time-causal VAE: robust financial time series generator
- Joint deep calibration of the 4-factor PDV model
- Stock market index dynamics and market activity
- The implied volatility surface (also) is path-dependent
- Path dependent volatility
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