Smile Dynamics IV

By L. Bergomi. 2009

110 citations recorded by the source corpus.

Subfields: Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/e16585b9f6806251f0318537092e549de2484eb5

How researchers see this paper

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In Mathematical Physics

1. Eduardo Abi Jaber
2. Antoine Jacquier
3. Claude Martini
4. Aitor Muguruza

Citations in the corpus

• Lifting the Heston model (2018, background): “Two of the most common extensions are adding jumps [13, 24] and stacking additional random factors [8, 22], in order to jointly account for short and long timescales.”
• Pricing under rough volatility (2015, unknown): “1 Re-interpretation of the conventional Bergomi model According to [2], the conventional Bergomi model is amarket model, by which it is meant that ξt(u) can be any given initial forward variance swap curve”
• On VIX futures in the rough Bergomi model (2017, methodology): “ter, through the introduction of volatility derivatives (VIX and related family), has been evolving under the pricing measure Q. Most models used for pricing purposes (Heston [19], SABR [17], Bergomi [5]) are constructed under Q and are of Markovian nature (making pricing, and hence calibration, eas”
• Model-independent bounds for option prices—a mass transport approach (2011, unknown): “ grid. We have compared the upper and lower bounds against the prices produced by models commonly used by practitioners (see Fig. 1): the local volatility model (in short LV) [Dup94], Bergomi’s model [Ber05] which is a two-factor variance curve model and finally the local Bergomi model [HL09] which h”
• Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, unknown): “This leads to a penalizing hedging cost in the case of a mismatch between the market and model prices of the vanilla options used for the hedge (see Bergomi [9]).”