surprisingly little to the ability of the models to explain the dynamic of the VIX. We present a stochastic volatility of … volatility model that can explain all the time-series characteristics of the VIX studied in this paper. Extensions demonstrate …

models. Keywords Stochastic volatility · volatility of volatility · stochastic correlation · leverage effect · Jacobi process … stochastic volatility (of volatility) Note that the concept of stochastic leverage is closely linked to the concept of stochastic … volatility and stochastic volatility of volatility. So, before we turn to explicit models for stochastic leverage, we briefly …

This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends … in the data. We discuss how stochastic volatility of volatility can be defined both non–parametrically, where we link it … which allow for stochastic volatility of volatility. In addition, we show that volatility of volatility can be estimated by …

model directly the VIX index, in a mean-reverting local volatility-of-volatility model, which will provide a global fit to … the VIX market. We then show how to construct the local volatility-of-volatility surface by adapting the ideas in Carr …

surprisingly little to the ability of the models to explain the dynamic of the VIX. We present a stochastic volatility of … volatility model that can explain all the time-series characteristics of the VIX studied in this paper. Extensions demonstrate …