Neural networks unleashed: joint SPX/VIX calibration has never been faster

- By Fabio Baschetti, Giacomo Bormetti and Pietro Rossi
- 04 Feb 2026

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Joint calibration to the Standard & Poor’s 500 (SPX) and Chicago Board Options Exchange (CBOE) Volatility Index (VIX) market data can be computationally burdensome, especially when the standard course of action for pricing volatility derivatives is nested Monte Carlo simulation, as is the case for the four-factor Markov path-dependent volatility model of Guyon and

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