3 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.PR2022★ 1 cited
VIX pricing in the rBergomi model under a regime switching change of measure
Henrique Guerreiro, João Guerra
The rBergomi model under the physical measure consists of modeling the log-variance as a truncated Brownian semi-stationary process. Then, a deterministic change of measure is appl…
q-fin.PR2021★ 3 cited
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Henrique Guerreiro, João Guerra
In stochastic Volterra rough volatility models, the volatility follows a truncated Brownian semi-stationary process with stochastic vol-of-vol. Recently, efficient VIX pricing Mont…