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5. Volatility is (mostly) path-dependent. (2023). Guyon, Julien ; Lekeufack, Jordan.
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1. Option pricing in a sentiment-biased stochastic volatility model. (2025). Patacca, Marco ; Fig-Talamanca, Gianna ; Cretarola, Alessandra.
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2. Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications. (2025). Thamrongrat, Nopporn ; Rujivan, Sanae ; Djehiche, Boualem ; Juntanon, Parun.
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3. Pricing and calibration in the 4-factor path-dependent volatility model. (2025). Guyon, Julien ; Gazzani, Guido.
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5. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
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6. The rough Hawkes Heston stochastic volatility model. (2024). Pulido, Sergio ; Bondi, Alessandro ; Scotti, Simone.
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7. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan ; Illand, Camille.
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8. Short-maturity asymptotics for VIX and European options in local-stochastic volatility models. (2024). Wang, Xiaoyu ; Zhu, Lingjiong ; Pirjol, Dan.
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9. Joint Calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Cheng, Xue ; Peng, Xianhua.
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10. Path-dependent PDEs for volatility derivatives. (2024). Pannier, Alexandre.
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13. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille.
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14. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2023). Li, Shaun Xiaoyuan ; Jaber, Eduardo Abi ; Illand, Camille.
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15. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2023). Li, Shaun Xiaoyuan ; Jaber, Eduardo Abi ; Illand, Camille.
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17. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2023). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille.
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18. Rough multifactor volatility for SPX and VIX options. (2023). Jacquier, Antoine ; Pannier, Alexandre ; Muguruza, Aitor.
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19. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Jaber, Eduardo Abi ; Illand, Camille.
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20. The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro.
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23. The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro.
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24. On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech.
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25. Signature-based models: theory and calibration. (2022). Svaluto-Ferro, Sara ; Gazzani, Guido ; Cuchiero, Christa.
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26. Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives. (2022). Papanicolaou, Andrew.
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27. Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models. (2021). Venegas-Martínez, Francisco ; de la Torre-Torres, Oscar V ; Martinez-Torre, Isabel M ; Venegas-Martinez, Francisco.
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29. The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Muradoglu, Yaz ; Muradolu, Yaz Gulnur ; Pappas, Vasileios ; Sivaprasad, Sheeja ; Izzeldin, Marwan.
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30. Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew.
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31. Joint Modelling and Calibration of SPX and VIX by Optimal Transport. (2021). Wang, Shiyi ; Obloj, Jan ; Guo, Ivan ; Loeper, Gregoire.
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32. Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Gehricke, Sebastian A ; Zhang, Jine.
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33. Inversion of convex ordering in the VIX market. (2020). Guyon, Julien.
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34. Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Pedio, Manuela ; Guidolin, Massimo.
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35. The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. (2020). Jusselin, Paul ; Rosenbaum, Mathieu ; Gatheral, Jim.
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36. Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching. (2019). Noorani, Idin ; Mehrdoust, Farshid.
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37. Instantaneous squared VIX and VIX derivatives. (2019). Luo, Xingguo ; Zhang, Wenjun.
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38. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris.
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39. Bayesian Variance Changepoint Detection in Linear Models with Symmetric Heavy-Tailed Errors. (2018). Kang, Shuaimin ; Wang, Min ; Qi, Howard ; Liu, Guangying.
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42. Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine.
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43. Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Ismail, Amine ; Pham, Huyen.
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