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q-fin.CP2026
Implied Volatility Expansions for VIX Options in Forward Variance Models
Ying Liao, Ankush Agarwal, Florian Bourgey
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VI…
q-fin.CP2025
Forecasting implied volatility surface with generative diffusion models
Chen Jin, Ankush Agarwal
Diffusion Probabilistic Model (DDPM) for generating one-day-ahead arbitrage-free implied volatility surfaces. To capture the path-dependent nature of volatility dynamics, we condit…
q-fin.CP2013
Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
Ankush Agarwal
In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.