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The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a polynomial function of degree five of a single Ornstein-Uhlenbeck process with fast mean reversion and large vol-of-vol.
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic convolution between a kernel and a Brownian motion.
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