Inversion of convex ordering in the VIX market

DOI10.1080/14697688.2020.1753885zbMath1454.91288OpenAlexW3027014202MaRDI QIDQ5139256

Julien Guyon

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1753885

zbMATH Keywords

stochastic volatilitymean reversionlocal volatilityconvex ordermartingale transportrough volatilitysmile calibrationinversion of convex ordering

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Volatility is (mostly) path-dependent ⋮ Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

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