Quant Letter: January 2025, Week-3
Weekly (77th Edition)
ArXiv
Finance
VIX Options Pricing: The same multiplicative multi-factor model is reiterated, highlighting its successful application to German power and TTF gas markets. (2025-01-10, shares: 7)
HJM and Lifted Heston Model: A multiplicative multi-factor model is suggested to align historical correlations of futures contracts with implied volatility smiles i…
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