Mini course by Julien Guyon (Ecole des Ponts): “Recent advances in VIX modeling“
The minicourse will cover (as time permits):
- Optimal bounds for VIX futures given S&P 500 smiles
- Robust bounds for derivatives on S&P 500 and/or VIX: VIX-constrained martingale optimal transport
- Joint S&P 500/VIX arbitrages
- Exact joint calibration of S&P 500 and VIX smiles: VIX-constrained martingale Schrodinger problems/bridges
- The VIX Future in Bergomi Models: Closed-Form Approximation Formulas and Joint Calibration with S&P 500 Skew
- Inversion of convex ordering: a remarkable empirical feature of the VIX market
- Inversion of convex ordering: Local volatility does not maximize the price of VIX futures