joint_calib_SPX_VIX

These codes have been used in the paper Joint calibration to SPX and VIX options with signature-based models by Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro.

For citations: Cuchiero C., Gazzani G., Möller J., Svaluto-Ferro S., Joint calibration to SPX and VIX options with signature-based models.

@article{CGMS-F:23,
    title={{Joint calibration to SPX and VIX options with signature-based models}}, 
    author={Cuchiero, C. and Gazzani, G. and Möller, J. and Svaluto-Ferro, S.},
    journal={Preprint arXiv:2301.13235},
    year={2023}}

calibration

This folder contains the codes used for the calibration proceedure, where file Joint_Calibration_const_params_greeks.py is used for the calibration using constant parameter and Joint_Calibration_Rolling.py for the calibration with time-varying parameters respectively.

plots

The plots used in the paper.

sampler

Here you find the code for the Monte-Carlo sampling which is to be done prior to the calibration.