3 papers
q-fin.MF2026
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…
q-fin.MF2025
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…
q-fin.MF2024
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…