Articles by Julien Guyon
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Calibration of local correlation models to basket smiles
The authors build a whole family of local correlation models by combining the particle method with a new, simple idea.