Image de couverture de livre

Heston vol-of-vol and the VVIX

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteur principal:	Healy, Jherek
Format:	Preprint
Publié:	2025
Sujets:	Pricing of Securities Computational Finance Mathematical Finance Risk Management
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Counterexamples for FX Options Interpolations -- Part I
par: Healy, Jherek
Publié: (2025)

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
par: Floc'h, Fabien Le
Publié: (2023)

Fast and Stable Credit Gamma of CVA
par: Daluiso, Roberto
Publié: (2023)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
par: Grzelak, Lech A.
Publié: (2022)

Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability
par: Flassig, Robert, et autres
Publié: (2026)

Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims
par: Schmutz, Michael, et autres
Publié: (2025)

A Derivative Pricing Perspective on Liquidity Tokens in Constant Product Market Makers
par: Bichuch, Maxim, et autres
Publié: (2024)

Risk-neutral valuation of options under arithmetic Brownian motions
par: Liu, Qiang, et autres
Publié: (2024)

Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
par: Rakshit, Agni, et autres
Publié: (2024)

How to choose my stochastic volatility parameters? A review
par: Floc'h, Fabien Le
Publié: (2025)

Learning the Exact SABR Model
par: Rensi, Giorgia, et autres
Publié: (2025)

What Does Deep Hedging Actually Learn? Delta Corrections, Regime Fragility, and Symbolic Distillation
par: Zernikov, Kirill
Publié: (2026)

Pricing and hedging of decentralised lending contracts
par: Szpruch, Lukasz, et autres
Publié: (2024)

Efficient Monte Carlo Valuation of Corporate Bonds in Financial Networks
par: Ahn, Dohyun, et autres
Publié: (2026)

Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk
par: Dhandapani, Vikranth Lokeshwar, et autres
Publié: (2024)

Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
par: Chen, Zhi, et autres
Publié: (2025)

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero
par: Sovbetov, Yhlas
Publié: (2025)

Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks
par: Arzel, Jules, et autres
Publié: (2026)

The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return
par: Martin, Richard J.
Publié: (2022)

Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
par: Chen, Zixing, et autres
Publié: (2025)

The Black-Scholes-Merton dual equation
par: Guo, Shuxin, et autres
Publié: (2019)

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
par: Bianchetti, Marco, et autres
Publié: (2015)

CATNet: A geometric deep learning approach for CAT bond spread prediction in the primary market
par: Domfeh, Dixon, et autres
Publié: (2025)

Sovereign Debt Default and Climate Risk
par: Barucci, Emilio, et autres
Publié: (2025)

Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions
par: Olkhov, Victor
Publié: (2023)

Push-response anomalies in high-frequency S&P 500 price series
par: Vlasiuk, Dmitrii, et autres
Publié: (2025)

Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
par: Halperin, Igor, et autres
Publié: (2025)

American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions
par: Itkin, Andrey
Publié: (2025)

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
par: Floc'h, Fabien Le
Publié: (2025)

Floating exercise boundaries for American options in time-inhomogeneous models
par: Itkin, Andrey, et autres
Publié: (2025)

Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
par: Jaber, Eduardo Abi, et autres
Publié: (2024)

Fast and General Simulation of Lévy-driven Ornstein Uhlenbeck processes for Energy Derivatives
par: Baviera, Roberto, et autres
Publié: (2024)

Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
par: Choi, Jaehyuk
Publié: (2024)

Stochastic Expansion for the Pricing of Asian and Basket Options
par: Floc'h, Fabien Le
Publié: (2024)

Volatility models in practice: Rough, Path-dependent or Markovian?
par: Jaber, Eduardo Abi, et autres
Publié: (2024)

Feynman-Kac Derivatives Pricing on the Full Forward Curve
par: Mott, Kevin
Publié: (2026)

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
par: Itkin, Andrey
Publié: (2023)

Pricing Barrier Options with DeepBSDEs
par: Ganesan, Narayan, et autres
Publié: (2020)

Semi-analytical pricing of options written on SOFR futures
par: Itkin, Andrey, et autres
Publié: (2024)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
par: Ter-Avanesov, Boris, et autres
Publié: (2024)