On VIX futures in the rough Bergomi model
研究了粗糙Bergomi模型下VIX和远期方差曲线的动态，开发了VIX期货和期权的有效定价算法，并分析了该模型联合描述VIX和SPX的有效性。
The rough Bergomi model introduced by Bayer et al. [Quant. Finance, 2015, 1–18] has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the forward variance curve generated by this model, and develop efficient pricing algorithms for VIX futures and options. We further analyse the validity of the rough Bergomi model to jointly describe the VIX and the SPX, and present a joint calibration algorithm based on the hybrid scheme by Bennedsen et al. [Finance Stoch., forthcoming].