4 citations · 7 across the 3 of their papers we have counts for
3 papers
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…
Stochastic invariance of closed sets with non-Lipschitz coefficients
Eduardo Abi Jaber, Bruno Bouchard, Camille Illand +1
This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich…