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Consistent Variance Curve Models

Citations

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Cited by:

  1. Florian Bourgey & Stefano De Marco & Emmanuel Gobet, 2022. "Weak approximations and VIX option price expansions in forward variance curve models," Papers 2202.10413, arXiv.org, revised May 2022.
  2. Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
  3. Andrew Papanicolaou, 2018. "Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives," Papers 1812.05859, arXiv.org, revised Mar 2022.
  4. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
  5. Gong, Yaxian, 2020. "Credit default swap and two-sided moral hazard," Finance Research Letters, Elsevier, vol. 34(C).
  6. Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
  7. Virmani, Vineet, 2014. "Model Risk in Pricing Path-dependent Derivatives: An Illustration," IIMA Working Papers WP2014-03-22, Indian Institute of Management Ahmedabad, Research and Publication Department.
  8. Yalc{c}in Aktar & Erik Taflin, 2014. "A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities," Papers 1405.3566, arXiv.org.
  9. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
  10. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching stochastic volatility model: estimation and calibration to VIX options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 38-75, January.
  11. Alexander Badran & Beniamin Goldys, 2015. "A Market Model for VIX Futures," Papers 1504.00428, arXiv.org.
  12. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
  13. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options," Working Papers hal-01212018, HAL.
  14. Andrew Papanicolaou, 2022. "Consistent time‐homogeneous modeling of SPX and VIX derivatives," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 907-940, July.
  15. Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
  16. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
  17. Gilles Zumbach, 2009. "Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models," Papers 0901.2275, arXiv.org.
  18. Xixuan Han & Boyu Wei & Hailiang Yang, 2018. "Index Options And Volatility Derivatives In A Gaussian Random Field Risk-Neutral Density Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-41, June.
  19. Christa Cuchiero & Sara Svaluto-Ferro, 2019. "Infinite dimensional polynomial processes," Papers 1911.02614, arXiv.org.
  20. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. K. Detlefsen & W. K. Härdle, 2012. "Variance swap dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 675-685, November.
  22. Paul Kruhner & Shijie Xu, 2023. "Statistically consistent term structures have affine geometry," Papers 2308.02246, arXiv.org.
  23. Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jan 2024.
  24. Schied, Alexander, 2014. "Model-free CPPI," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 84-94.
  25. Jan Baldeaux & Alexander Badran, 2014. "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
  26. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  27. Elena Andreou & Eric Ghysels, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 168-171, April.
  28. Florent S'egonne, 2015. "Variance Dynamics - An empirical journey," Papers 1507.00846, arXiv.org.
  29. Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.
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