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q-fin.PR2025
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
Nelson Kyakutwika, Mesias Alfeus, Erik Schlögl
We apply vector quantisation within mixed one- and two-factor Bergomi models to implement a fast and efficient approach for option pricing in these models. This allows us to calibr…
q-fin.PR2018
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
Mesias Alfeus, Martino Grasselli, Erik Schlögl
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework fo…