3 papers
q-fin.MF2026
Ultra-short-term volatility surfaces
Federico M. Bandi, Nicola Fusari, Guido Gazzani +1
Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult t…
q-fin.CP2025
Pricing and calibration in the 4-factor path-dependent volatility model
Guido Gazzani, Julien Guyon
We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past returns an…
q-fin.MF2024
Joint calibration to SPX and VIX options with signature-based models
Christa Cuchiero, Guido Gazzani, Janka Möller +1
We consider a stochastic volatility model where the dynamics of the volatility are described by a linear function of the (time extended) signature of a primary process which is sup…