Weak approximations and VIX option price expansions in forward variance curve models
We provide explicit approximation formulas for VIX futures and options in forward variance
models, with particular emphasis on the family of so-called Bergomi models: the one-factor …
models, with particular emphasis on the family of so-called Bergomi models: the one-factor …
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
F Bourgey, S De Marco - arXiv preprint arXiv:2105.05356, 2021 - arxiv.org
We consider the pricing of VIX options in the rough Bergomi model. In this setting, the VIX
random variable is defined by the one-dimensional integral of the exponential of a Gaussian …
random variable is defined by the one-dimensional integral of the exponential of a Gaussian …
[PDF][PDF] Rough Heston with jumps-joint calibration to SPX/VIX level and skew as T→ 0, and issues with the quadratic rough Heston model
M Forde, B Smith - preprint, 2024 - nms.kcl.ac.uk
We augment the well known rough Heston model with an additional independent CGMY-
type jump process with a Brownian component, and we show that one can simultaneously …
type jump process with a Brownian component, and we show that one can simultaneously …
A comparative study of polynomial-type chaos expansions for indicator functions
We propose a thorough comparison of polynomial chaos expansion (PCE) for indicator
functions of the form for some threshold parameter and a random variable associated with …
functions of the form for some threshold parameter and a random variable associated with …
[PDF][PDF] Small-time VIX smile and the stationary distribution for the rough heston model
We characterize the asymptotic behaviour of close-to-the-money VIX call options under a
generalized Rough Heston model with an exogenously specified initial variance term …
generalized Rough Heston model with an exogenously specified initial variance term …
[PDF][PDF] Small-time & H↓ 0 limits of Rough Volatility Models
B Smith - 2023 - kclpure.kcl.ac.uk
This thesis consists of 4 chapters each of which discusses the properties of various models
from Mathematical Finance in particular Rough Volatility models. In Chapter 1 we discuss …
from Mathematical Finance in particular Rough Volatility models. In Chapter 1 we discuss …