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DTSTAMP:20260516T142423Z
SUMMARY:Christa Cuchiero:  Joint Calibration of SPX and VIX Options with Si
 gnature-Based Models
DESCRIPTION:We consider a stochastic volatility model where the dynamics of
  the volatility are described by linear functions of the (time extended) s
 ignature of a primary underlying process\, which is supposed to be some mu
 ltidimensional continuous semimartingale. Under the additional assumption 
 that this primary process is of polynomial type\, we obtain closed form ex
 pressions for the squared VIX by exploiting the fact that the truncated si
 gnature of a polynomial process is again a polynomial process. Adding to s
 uch a primary process the Brownian motion driving the stock price\, allows
  then to express both the log-price and the squared VIX as linear function
 s of the signature of the corresponding augmented process. This linearity 
 can then be efficiently used for pricing and calibration purposes as the s
 ignature samples can be easily precomputed offline. For both the SPX and V
 IX options we obtain highly accurate calibration results\, showing that th
 is model class allows to solve the joint calibration problem without addin
 g jumps or rough volatility\, but just path-dependence via the signature p
 rocess.\nThe talk is based on joint work with Guido Gazzani\, Janka Mölle
 r and Sara Svaluto-Ferro.
URL:https://www.imperial.ac.uk/events/156573/christa-cuchiero-joint-calibra
 tion-of-spx-and-vix-options-with-signature-based-models/
DTSTART;TZID=Europe/London:20230112T133000
DTEND;TZID=Europe/London:20230112T143000
LOCATION:Room 130 \, Huxley Building\, South Kensington Campus\, Imperial C
 ollege London\, London\, SW7 2AZ\, United Kingdom
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