Regime-switching stochastic volatility model: estimation and calibration to VIX options

By Stéphane Goutte, Amine Ismail, Huyen Pham. 2017

53 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/c0ed0f29597a3bc592438cf25355d17f70747d2d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Paul Jusselin
2. Jim Gatheral
3. Mathieu Rosenbaum

In Finance

1. Paul Jusselin
2. Mathieu Rosenbaum
3. Jim Gatheral
4. Eduardo Abi Jaber
5. Omar El Euch
6. Christa Cuchiero
7. Masaaki Fukasawa
8. Emmanuel Bacry

Citations in the corpus

• The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem (2020, methodology): “The second approach is to attempt joint calibration with models where SPX trajectories are continuous, see in particular [20].”