14 citations · 39 across the 16 of their papers we have counts for
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q-fin.PR2018
Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives
Andrew Papanicolaou
This paper shows how to recover a stochastic volatility model (SVM) from a market model of the VIX futures term structure. Market models have more flexibility for fitting of curves…
q-fin.PR2012★ 6 cited
Implied Filtering Densities on Volatility's Hidden State
Carlos Fuertes, Andrew Papanicolaou
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved st…