Differential Equations and Nonlinear Analysis Seminar: Andrew Papanicolaou, NC State, Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models
ZoomThis work explores the recovery stochastic volatility models (SVMs) from market models for the VIX futures term structure. Market models have more flexibility for fitting of curves than do SVMs, and therefore they are better-suited for pricing VIX futures and derivatives. But the VIX itself is a derivative of the S&P500 (SPX) and it is…