no code implementations • 3 May 2024 • Eduardo Abi Jaber, Shaun, Li, Xuyang Lin
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Sch\"obel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models motivated by the SPX-VIX joint calibration problem.
no code implementations • 7 Jan 2024 • Eduardo Abi Jaber, Shaun, Li
On the positive side: our study identifies a (non-rough) path-dependent Bergomi model and an under-parametrized two-factor Markovian Bergomi model that consistently outperform their rough counterpart in capturing SPX smiles between one week and three years with only 3 to 4 calibratable parameters.
no code implementations • 21 Dec 2022 • Eduardo Abi Jaber, Camille Illand, Shaun, Li
The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a polynomial function of degree five of a single Ornstein-Uhlenbeck process with fast mean reversion and large vol-of-vol.
no code implementations • 16 Dec 2022 • Eduardo Abi Jaber, Camille Illand, Shaun, Li
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic convolution between a kernel and a Brownian motion.