2 citations · 2 across the 10 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
q-fin.MF2020
A general framework for a joint calibration of VIX and VXX options
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the…
q-fin.ST2020★ 2 cited
Long vs Short Time Scales: the Rough Dilemma and Beyond
Matthieu Garcin, Martino Grasselli
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors i…