1 citations · 1 across the 3 of their papers we have counts for
4 papers
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…
Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps
Nicola F. Zaugg, Lech A. Grzelak
The lifted Heston model is a stochastic volatility model emerging as a Markovian lift of the rough Heston model and the class of rough volatility processes. The model encodes the p…
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces
Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model…
Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
Nicola F. Zaugg, Lech A. Grzelak
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear depende…