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math.PR2020
Forests, cumulants, martingales
Peter K. Friz, Jim Gatheral, Radoš Radoičić
This work is concerned with forest and cumulant type expansions of general random variables on a filtered probability spaces. We establish a "broken exponential martingale" expansi…
q-fin.MF2020★ 1 cited
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum
Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may…