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On VIX futures in the rough Bergomi model

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  • Antoine Jacquier
  • Claude Martini
  • Aitor Muguruza

Abstract

The rough Bergomi model introduced by Bayer et al. [Quant. Finance, 2015, 1–18] has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the forward variance curve generated by this model, and develop efficient pricing algorithms for VIX futures and options. We further analyse the validity of the rough Bergomi model to jointly describe the VIX and the SPX, and present a joint calibration algorithm based on the hybrid scheme by Bennedsen et al. [Finance Stoch., forthcoming].

Suggested Citation

  • Antoine Jacquier & Claude Martini & Aitor Muguruza, 2018. "On VIX futures in the rough Bergomi model," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 45-61, January.
    • Handle: RePEc:taf:quantf:v:18:y:2018:i:1:p:45-61
    DOI: 10.1080/14697688.2017.1353127
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    References listed on IDEAS

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