The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem

A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration

CLICK HERE TO VIEW THE PDF

Fitting SPX and Vix smiles simultaneously is one of the most challenging problems in volatility modelling. A long-standing conjecture is that it may not be possible to jointly calibrate these two quantities using a model with continuous sample paths. Jim Gatheral, Paul Jusselin and Mathieu Rosenbaum present the quadratic rough Heston model as a counterexample to this conjecture. The key idea is the combination of rough volatility with a price-feedback (Zumbach) effect

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: