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Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
In: Working Papers.
RePEc:hal:wpaper:hal-03902513.

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  1. Transportation-cost inequalities for non-linear Gaussian functionals. (2023). Jacquier, Antoine ; Gasteratos, Ioannis.
    In: Papers.
    RePEc:arx:papers:2310.05750.

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  2. From elephant to goldfish (and back): memory in stochastic Volterra processes. (2023). Pages, Gilles ; Grasselli, Martino ; Callegaro, Giorgia ; Bonesini, Ofelia.
    In: Papers.
    RePEc:arx:papers:2306.02708.

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  3. Random neural networks for rough volatility. (2023). Zuric, Zan ; Jacquier, Antoine.
    In: Papers.
    RePEc:arx:papers:2305.01035.

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  4. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03909334.

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