Advanced calibration methods and VIX derivatives

J. Guyon

  • Particle methods: McKean SDEs, propagation of chaos, calibration of SLV models, calibration of local correlation models (FX, equities)
  • Introduction to VIX: the VIX index, VIX futures, VIX options, and related products
  • Model-free bounds with VIX information: VIX-constrained martingale optimal transport
  • Joint SPX/VIX calibration: parametric and nonparametric approaches