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Search: subject:"calibration of financial models"
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Option pricing theory
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S&P 500/VIX joint calibration
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gemischtes Wahrscheinlichkeitsmaß
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Gazzani, Guido
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Quantitative finance
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ECONIS (ZBW)
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Signature-based models in finance and robust risk measures
Gazzani, Guido
-
2023
Persistent link: https://www.econbiz.de/10015546444
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Joint calibration to SPX and VIX options with signature-based models
Cuchiero, Christa
;
Gazzani, Guido
;
Möller, Janka
; …
- In:
Mathematical finance : an international journal of …
35
(
2025
)
1
,
pp. 161-213
Persistent link: https://www.econbiz.de/10015359034
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3
Pricing and calibration in the 4-factor path-dependent volatility model
Gazzani, Guido
;
Guyon, Julien
- In:
Quantitative finance
25
(
2025
)
3
,
pp. 471-489
Persistent link: https://www.econbiz.de/10015534109
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