Articles by Jim Gatheral

• バンキング

Efficient simulation of affine forward variance models

Andersen's quadratic-exponential scheme is used for simulations of rough volatility models

• 2022年1月25日

• バンキング

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

• 2020年4月29日