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On VIX futures in the rough Bergomi model
Jacquier, Antoine
;
Martini, Claude
;
Muguruza, Aitor
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Black-Scholes in a CEV random environment
Jacquier, Antoine
;
Roome, Patrick
- In:
Mathematics and financial economics
12
(
2018
)
3
,
pp. 445-474
Persistent link: https://www.econbiz.de/10011963872
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Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
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