Guyon, Julien The VIX future in Bergomi models: fast approximation formulas and joint calibration with S&P 500 skew. (English) Zbl 1503.91120 SIAM J. Financ. Math. 13, No. 4, 1418-1485 (2022). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{J. Guyon}, SIAM J. Financ. Math. 13, No. 4, 1418--1485 (2022; Zbl 1503.91120) Full Text: DOI
Alòs, Elisa; García-Lorite, David; Gonzalez, Aitor Muguruza On smile properties of volatility derivatives: understanding the VIX skew. (English) Zbl 1483.91227 SIAM J. Financ. Math. 13, No. 1, 32-69 (2022). MSC: 91G20 91G80 60H07 60G22 PDF BibTeX XML Cite \textit{E. Alòs} et al., SIAM J. Financ. Math. 13, No. 1, 32--69 (2022; Zbl 1483.91227) Full Text: DOI arXiv
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu Closed-form implied volatility surfaces for stochastic volatility models with jumps. (English) Zbl 1471.91557 J. Econom. 222, No. 1, Part B, 364-392 (2021). MSC: 91G20 91B70 62P05 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} et al., J. Econom. 222, No. 1, Part B, 364--392 (2021; Zbl 1471.91557) Full Text: DOI
Garnier, Josselin; Sølna, Knut Option pricing under fast-varying long-memory stochastic volatility. (English) Zbl 1411.91556 Math. Finance 29, No. 1, 39-83 (2019). MSC: 91G20 60G22 60J60 60G44 PDF BibTeX XML Cite \textit{J. Garnier} and \textit{K. Sølna}, Math. Finance 29, No. 1, 39--83 (2019; Zbl 1411.91556) Full Text: DOI arXiv
Fouque, J.-P.; Saporito, Y. F. Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. (English) Zbl 1400.91589 Quant. Finance 18, No. 6, 1003-1016 (2018). MSC: 91G20 PDF BibTeX XML Cite \textit{J. P. Fouque} and \textit{Y. F. Saporito}, Quant. Finance 18, No. 6, 1003--1016 (2018; Zbl 1400.91589) Full Text: DOI arXiv
Fukasawa, Masaaki Short-time at-the-money skew and rough fractional volatility. (English) Zbl 1402.91777 Quant. Finance 17, No. 2, 189-198 (2017). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{M. Fukasawa}, Quant. Finance 17, No. 2, 189--198 (2017; Zbl 1402.91777) Full Text: DOI arXiv
Gobet, Emmanuel; Pagliarani, Stefano Analytical approximations of BSDEs with nonsmooth driver. (English) Zbl 1326.65019 SIAM J. Financ. Math. 6, 919-958 (2015). MSC: 65C30 60H10 60H35 34F05 91G60 PDF BibTeX XML Cite \textit{E. Gobet} and \textit{S. Pagliarani}, SIAM J. Financ. Math. 6, 919--958 (2015; Zbl 1326.65019) Full Text: DOI
Fuertes, Carlos; Papanicolaou, Andrew Implied filtering densities on the hidden state of stochastic volatility. (English) Zbl 1395.91441 Appl. Math. Finance 21, No. 5-6, 483-522 (2014). MSC: 91G20 62M20 62P05 PDF BibTeX XML Cite \textit{C. Fuertes} and \textit{A. Papanicolaou}, Appl. Math. Finance 21, No. 5--6, 483--522 (2014; Zbl 1395.91441) Full Text: DOI arXiv
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi Asymptotic expansion formula of option price under multifactor Heston model. (English) Zbl 1368.91174 Asia-Pac. Financ. Mark. 21, No. 4, 351-396 (2014). MSC: 91G20 91B70 60H30 PDF BibTeX XML Cite \textit{K. Nagashima} et al., Asia-Pac. Financ. Mark. 21, No. 4, 351--396 (2014; Zbl 1368.91174) Full Text: DOI
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. Multiscale stochastic volatility model for derivatives on futures. (English) Zbl 1303.91176 Int. J. Theor. Appl. Finance 17, No. 7, Article ID 1450043, 31 p. (2014). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{J.-P. Fouque} et al., Int. J. Theor. Appl. Finance 17, No. 7, Article ID 1450043, 31 p. (2014; Zbl 1303.91176) Full Text: DOI arXiv
Fukasawa, Masaaki Asymptotic analysis for stochastic volatility: martingale expansion. (English) Zbl 1303.91177 Finance Stoch. 15, No. 4, 635-654 (2011). MSC: 91G20 91B70 60F05 60G22 60G44 60H07 PDF BibTeX XML Cite \textit{M. Fukasawa}, Finance Stoch. 15, No. 4, 635--654 (2011; Zbl 1303.91177) Full Text: DOI
Souza, Max O.; Zubelli, Jorge P. Strategic investment decisions under fast mean-reversion stochastic volatility. (English) Zbl 1274.91472 Appl. Stoch. Models Bus. Ind. 27, No. 1, 61-69 (2011). MSC: 91G50 60H30 91G20 PDF BibTeX XML Cite \textit{M. O. Souza} and \textit{J. P. Zubelli}, Appl. Stoch. Models Bus. Ind. 27, No. 1, 61--69 (2011; Zbl 1274.91472) Full Text: DOI
Chiu, Mei Choi; Lo, Yu Wai; Wong, Hoi Ying Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. (English) Zbl 1242.91185 Oper. Res. Lett. 39, No. 4, 289-295 (2011). MSC: 91G20 PDF BibTeX XML Cite \textit{M. C. Chiu} et al., Oper. Res. Lett. 39, No. 4, 289--295 (2011; Zbl 1242.91185) Full Text: DOI
Sukhomlin, N. B. Index of function inversion. (English. Russian original) Zbl 1203.91325 Russ. Phys. J. 53, No. 2, 209-211 (2010); translation from Izv. Vyssh. Uchebn. Zaved., Fiz. 2010, No. 2, 92-94 (2010). MSC: 91G80 PDF BibTeX XML Cite \textit{N. B. Sukhomlin}, Russ. Phys. J. 53, No. 2, 209--211 (2010; Zbl 1203.91325); translation from Izv. Vyssh. Uchebn. Zaved., Fiz. 2010, No. 2, 92--94 (2010) Full Text: DOI
Abdelmalek, Wafa; Ben Hamida, Sana; Abid, Fathi Selecting the best forecasting-implied volatility model using genetic programming. (English) Zbl 1175.91068 J. Appl. Math. Decis. Sci. 2009, Article ID 179230, 19 p. (2009). MSC: 91B25 PDF BibTeX XML Cite \textit{W. Abdelmalek} et al., J. Appl. Math. Decis. Sci. 2009, Article ID 179230, 19 p. (2009; Zbl 1175.91068) Full Text: DOI EuDML
Alòs, Elisa; León, Jorge A.; Vives, Josep On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (English) Zbl 1145.91020 Finance Stoch. 11, No. 4, 571-589 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91B28 91B70 60H07 PDF BibTeX XML Cite \textit{E. Alòs} et al., Finance Stoch. 11, No. 4, 571--589 (2007; Zbl 1145.91020) Full Text: DOI Link