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The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem

Citations

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Cited by:

  1. Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024. "Rough differential equations for volatility," Papers 2412.21192, arXiv.org.
  2. Ivan Guo & Gregoire Loeper & Jan Obloj & Shiyi Wang, 2020. "Joint Modelling and Calibration of SPX and VIX by Optimal Transport," Papers 2004.02198, arXiv.org, revised Sep 2021.
  3. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2024. "The rough Hawkes Heston stochastic volatility model," Post-Print hal-03827332, HAL.
  4. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
  5. Nelson Vadori, 2022. "Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective," Papers 2203.06865, arXiv.org, revised Oct 2023.
  6. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
  7. Julien Guyon & Jordan Lekeufack, 2023. "Volatility is (mostly) path-dependent," Quantitative Finance, Taylor & Francis Journals, vol. 23(9), pages 1221-1258, September.
  8. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2024. "Forecasting volatility with machine learning and rough volatility: example from the crypto-winter," Digital Finance, Springer, vol. 6(4), pages 639-655, December.
  9. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
  10. Ofelia Bonesini & Giorgia Callegaro & Martino Grasselli & Gilles Pag`es, 2023. "From elephant to goldfish (and back): memory in stochastic Volterra processes," Papers 2306.02708, arXiv.org, revised Jan 2025.
  11. Julien Guyon, 2020. "Inversion of convex ordering in the VIX market," Quantitative Finance, Taylor & Francis Journals, vol. 20(10), pages 1597-1623, October.
  12. Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
  13. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org, revised Feb 2024.
  14. Benjamin Jourdain & Gilles Pagès, 2025. "Convex ordering for stochastic Volterra equations and their Euler schemes," Finance and Stochastics, Springer, vol. 29(1), pages 1-62, January.
  15. Guido Gazzani & Julien Guyon, 2024. "Pricing and calibration in the 4-factor path-dependent volatility model," Papers 2406.02319, arXiv.org, revised Feb 2025.
  16. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03902513, HAL.
  17. Zhiqiang Zhou & Wei Xu & Alexey Rubtsov, 2024. "Joint calibration of S&P 500 and VIX options under local stochastic volatility models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 273-310, January.
  18. Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2024. "A general framework for a joint calibration of VIX and VXX options," Annals of Operations Research, Springer, vol. 336(1), pages 3-26, May.
  19. Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
  20. Brian Huge & Antoine Savine, 2020. "Differential Machine Learning," Papers 2005.02347, arXiv.org, revised Sep 2020.
  21. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
  22. Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
  23. Christa Cuchiero & Guido Gazzani & Janka Moller & Sara Svaluto-Ferro, 2023. "Joint calibration to SPX and VIX options with signature-based models," Papers 2301.13235, arXiv.org, revised Jul 2024.
  24. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
  25. Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
  26. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
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