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20192026
most citedA neural network-based framework for financial model calibration

66 citations · 77 across the 21 of their papers we have counts for

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q-fin.MF2026

The VIX-Derived Volatility Model: A VIX-first Joint SPX-VIX Framework

Nicola F. Zaugg, Lech A. Grzelak

We propose the VIX-derived volatility (VDV) model, a VIX-first framework for joint SPXVIX modeling. In the model, we define explicit dynamics for the VIX process to price VIX futur…