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A regime-switching Heston model for VIX and S&P 500 implied volatilities. (2014). Papanicolaou, Andrew ; Sircar, Ronnie.
In: Quantitative Finance.
RePEc:taf:quantf:v:14:y:2014:i:10:p:1811-1827.

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Cited: 39

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Cites: 32

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  1. Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Peng, Xianhua ; Cheng, Xue.
    In: Papers.
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  2. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2023). Illand, Camille ; Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan.
    In: Post-Print.
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  3. Asymmetric responses of equity returns to changes in exchange rates at different market volatility levels. (2023). Orlowski, Lucjan ; Herley, Michael D ; Ritter, Mark A.
    In: The Journal of Economic Asymmetries.
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  4. Path-dependent PDEs for volatility derivatives. (2023). Pannier, Alexandre.
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  5. Joint calibration to SPX and VIX options with signature-based models. (2023). Svaluto-Ferro, Sara ; Moller, Janka ; Gazzani, Guido ; Cuchiero, Christa.
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  6. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
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  7. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
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  8. The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro.
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  9. Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns. (2022). Guidolin, Massimo ; Pedio, Manuela.
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  10. Consistent time?homogeneous modeling of SPX and VIX derivatives. (2022). Papanicolaou, Andrew.
    In: Mathematical Finance.
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  11. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi.
    In: Papers.
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  12. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi.
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  13. The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro.
    In: Papers.
    RePEc:arx:papers:2210.12393.

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  14. On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A.
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  15. Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. (2021). Choudhury, Tonmoy ; Campbell, Ross ; Kinateder, Harald.
    In: Finance Research Letters.
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  16. The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Sivaprasad, Sheeja ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan.
    In: International Review of Financial Analysis.
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  17. Rough multifactor volatility for SPX and VIX options. (2021). Pannier, Alexandre ; Muguruza, Aitor ; Jacquier, Antoine.
    In: Papers.
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  18. Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew.
    In: Papers.
    RePEc:arx:papers:2101.00299.

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  19. .

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  20. Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A.
    In: Journal of Futures Markets.
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  21. Inversion of convex ordering in the VIX market. (2020). Guyon, Julien.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:20:y:2020:i:10:p:1597-1623.

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  22. Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Pedio, Manuela ; Guidolin, Massimo.
    In: BAFFI CAREFIN Working Papers.
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  23. Joint Modelling and Calibration of SPX and VIX by Optimal Transport. (2020). Wang, Shiyi ; Obloj, Jan ; Loeper, Gregoire ; Guo, Ivan.
    In: Papers.
    RePEc:arx:papers:2004.02198.

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  24. The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. (2020). Rosenbaum, Mathieu ; Jusselin, Paul ; Gatheral, Jim.
    In: Papers.
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  25. Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching. (2019). Noorani, Idin ; Mehrdoust, Farshid.
    In: International Journal of Financial Engineering (IJFE).
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  26. Instantaneous squared VIX and VIX derivatives. (2019). Zhang, Jin E ; Luo, Xingguo.
    In: Journal of Futures Markets.
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  27. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris.
    In: Journal of Financial Economics.
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  28. Bayesian Variance Changepoint Detection in Linear Models with Symmetric Heavy-Tailed Errors. (2018). Wang, Min ; Qi, Howard ; Liu, Guangying ; Kang, Shuaimin .
    In: Computational Economics.
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  29. Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele .
    In: Journal of Banking & Finance.
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  30. Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew.
    In: Papers.
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  31. Chebyshev reduced basis function applied to option valuation. (2017). Gaton, Victor ; Frutos, Javier.
    In: Computational Management Science.
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  32. Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine .
    In: Working Papers.
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  33. Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Pham, Huyen ; Ismail, Amine ; Goutte, Stephane.
    In: Post-Print.
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  34. Heston‐Type Stochastic Volatility with a Markov Switching Regime. (2016). Nishide, Katsumasa ; Elliott, Robert J ; Osakwe, Carltonjames U.
    In: Journal of Futures Markets.
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  35. A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng.
    In: Journal of Econometrics.
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  36. Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao.
    In: Papers.
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  37. Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching. (2016). Cao, Jiling ; Zhang, Wenjun ; Nazirah, Teh Raihana .
    In: Papers.
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  38. Double-jump stochastic volatility model for VIX: evidence from VVIX. (2015). Zang, Xin ; Wu, Lan ; Huang, Jing-Zhi ; Ni, Jun.
    In: Papers.
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