The VIX-Derived Volatility Model: A VIX-first Joint SPX-VIX Framework

By Nicola F. Zaugg, Lech A. Grzelak

Published 2026-08-02

Everscope rating

1855.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: VIX-Derived Volatility (VDV) Model. Problem types: Joint Market Calibration, Derivatives Pricing, Risk Management, Optimization, Density Estimation.

arXiv:2608.01479 · Paper rankings

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