On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

Trend · papers per month

count % of corpus

2 results for “VXX”

A general framework for a joint calibration of VIX and VXX optionsq-fin.MF

The study calibrates VIX and VXX options using a multi-factor model.

problem Calibration failure of VIX and VXX options using stochastic or local volatility models.

method Presented a multi-factor stochastic-local volatility model.

result Joint calibration of VIX and VXX options successfully achieved.

VIX VXX Calibration Stochastic-local volatility Commodity smile

2020-12-15abs ↗pdf ↗

Tracking VIX with VIX Futures: Portfolio Construction and Performanceq-fin.RM

We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate its tracking performance from both empirical and theoretical perspectives. Among our results, we show that static portfolios of different VI…

2019-06-29abs ↗pdf ↗