2 citations · 3 across the 5 of their papers we have counts for
5 papers
Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX
Eduardo Abi Jaber, Shaun, Li
We introduce the two-factor Quintic Ornstein-Uhlenbeck (OU) model, where volatility is modelled as a degree-five polynomial of the sum of two Ornstein-Uhlenbeck processes driven by…
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
Eduardo Abi Jaber, Shaun, Li +1
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Schöbel-Zhu, one-factor B…
Volatility models in practice: Rough, Path-dependent or Markovian?
Eduardo Abi Jaber, Shaun, Li
We present an empirical study examining several claims related to option prices in rough volatility literature using SPX options data. Our results show that rough volatility models…
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
Eduardo Abi Jaber, Camille Illand, Shaun +1
The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a polynomial function of degree five of a single Ornstein-Uhlenbeck…
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
Eduardo Abi Jaber, Camille Illand, Shaun +1
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function…