ARBITER learns SPX-VIX term structures without arbitrage constraints.
problem Arbitrage-free modeling of SPX-VIX term structures.
method Risk-neutral neural operator mapping market states to operator outputs enforcing static arbitrage constraints.
result ARBITER outperforms other models in derivatives term structure evaluation metrics.
A new volatility model calibrates SPX & VIX smiles with 6 parameters.
problem Joint calibration of SPX and VIX smiles with a simple model.
method Quintic Ornstein-Uhlenbeck volatility model with polynomial volatility process.
result Remarkable joint fits of SPX-VIX smiles with only 6 parameters.
A new model fits SPX and VIX volatility surfaces and term structures efficiently.
problem Calibrating SPX and VIX volatility models to market data.
method Gaussian polynomial volatility models, joint calibration, functional quantization, Neural Networks.
result A conventional one-factor Markovian model outperforms rough and non-rough models.
Survey of continuous volatility models, focusing on fractional and rough methods.
problem Stylized facts driving continuous volatility modeling.
method Historical development and fractional/rough methods.
result Characterization of landmark models and recent advances.
Proposes a new model for equity options calibration.
problem Calibration of joint SPX/VIX options.
method Replaces fractional Brownian motion with grey Brownian motion.
result Shows potential advantages and calibration results for new model.
The paper provides formulas for volatility in various models, including rough volatility.
problem Calibrating SPX and VIX options with rough volatility models.
method Developed explicit formulae using Malliavin calculus for Gaussian processes.
result New insights on joint calibration of SPX and VIX options.
Market maker optimizes SPX and VIX spread using quadratic rough Heston model.
problem Maximizing profit from SPX and VIX spread while managing inventory risk.
method Uses quadratic rough Heston model to optimize multi-asset market making problem, approximating high-dimensional optimization.
result Asymptotic closed-form solution for optimization problem.
This paper proposes a new model for SPX and VIX derivatives markets.
problem Joint calibration of SPX and VIX markets.
method Composite change of time structure in a time-changed Lévy model.
result Explicit characteristic function and pricing formula derived.
Linking SV and PDV models for better volatility forecasts.
problem Improving volatility forecasting models.
method Assumed density filtering to map SV models to PDV representations, introducing calibration procedure.
result Improves in-sample fit and robust out-of-sample forecasts.
A new framework for SPX and VIX hedging that combines AI and market dynamics.
problem Jointly hedging SPX and VIX exposures under transaction costs and regime shifts.
method Integrates an SSVI-based implied-volatility surface and a Cboe-compliant VIX computation with a control layer that enforces safety as constraints.
result Reduces expected shortfall while suppressing nuisance turnover in a reproducible synthetic environment.
Model captures SPX and VIX volatility surfaces and skew-stickiness ratio.
problem Capturing volatility dynamics in financial markets.
method Two-factor Quintic Ornstein-Uhlenbeck (OU) model with polynomial volatility.
result Model accurately represents SPX and VIX volatility surfaces and SSR.
A new method for generating SPX and VIX risk scenarios using perturbed optimal transport.
problem Generating accurate risk estimates for SPX and VIX without full recalibration.
method A joint optimal transport calibration with perturbation methodology for sensitivities, combined with Skew Stickiness Ratio dynamics.
result The proposed method produces accurate risk estimates relative to full recalibration and is computationally faster.
The paper studies Fourier-Laplace transforms in polynomial OU volatility models for option pricing.
problem Calibrating and pricing options in polynomial Ornstein-Uhlenbeck volatility models.
method Analyzes Fourier-Laplace transforms, connects to Riccati equations, and develops numerical schemes.
result Establishes existence and solution for Riccati equations and provides efficient numerical methods.
A new LSV model uses relative quantities for better trading and risk management.
problem Inability to use intuitive and stable parameters in LSV models.
method Develops a hybrid method using relative quantities for efficient derivative pricing and scenario generation.
result Shows improved stability and ease of use for model parameters.
We create consistent option surfaces without arbitrage.
problem Constructing consistent option surfaces free of arbitrage across different maturities.
method Combining PCA-Smolyak approximation with chain-consistent diffusion and c-EMOT bridge.
result Computable certificates for strong convexity, solver correctness, and Dupire/Greeks stability.
Study on RL on volatility surfaces, proving no free lunch for law-seeking methods.
problem Aligning RL agents with no-arbitrage laws in volatile markets.
method Built a law manifold, defined penalties, and used a Goodhart decomposition.
result No free lunch theorem: Law-seeking RL cannot outperform baselines.