Bergomi model
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model
The interplay between stochastic volatility and correlations in equity autocallables
Study shows issues with pricing autocallables using SLV
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Being particular about calibration
Being particular about calibration