Typed states for the displayed outbound observations.
Source: paper_references, paper_reference_links, observed 2026-08-06T21:49:04.593401Z
Paper Citation Record · LEDGER
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
As of 20 August 2026, this Paper Citation Record lists 24 of 24 outbound references and 0 inbound Pith citation observations for arXiv:2506.23409.
A citation records a reference. It does not transfer a finding from one paper to another.
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One-hop event checks from named stored sources.
Source: scholarly_work_events, retraction_status_cache, observed 2026-08-20T06:33:59.587034+00:00
Pith citing papers itemized under the disclosed page cap.
Source: paper_references, paper_reference_links
A source-named dated measurement, never combined with another source.
Source: cited_works
Reference resolution
24 of 24 outbound references displayed
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External citation measurements
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Outbound references
Observation 94332fc0-7ebd-4e11-9e71-685caaabf59e · outbound
This paper cites http://www.quantize.maths-fi.com/gaussian_database, [Online; accessed April 2024].
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation http://www.quantize.maths-fi.com/gaussian_database, [Online; accessed April 2024]
Reference 1
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:09.611988Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 9d2b7dec-3f1e-4978-9460-dcdba4b5b888 · outbound
This paper cites Joint SPX & VIX calibration with Gaussian polynomial volatility models: Deep pricing with quantization hints.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Joint SPX & VIX calibration with Gaussian polynomial volatility models: Deep pricing with quantization hints
Reference 2
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:09.412262Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 2b9a219f-b74d-488b-8189-fd2e56618c43 · outbound
This paper cites A consistent stochastic model of the term structure of interest rates for multiple tenors.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation A consistent stochastic model of the term structure of interest rates for multiple tenors
Reference 3
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:09.280569Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation f414e5e0-2a08-41da-a8cb-da51923dc744 · outbound
This paper cites Smile dynamics II.Risk, pages 67–73, October 2005.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Smile dynamics II.Risk, pages 67–73, October 2005
Reference 4
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:09.017941Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation c86b699a-ae33-4655-8d0e-c2135dbdd4e0 · outbound
This paper cites Smile dynamics III.Risk, pages 90–96, October 2008.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Smile dynamics III.Risk, pages 90–96, October 2008
Reference 5
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:08.808229Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation ac89bd75-48cc-4f1b-a2bd-f855c9ad00c6 · outbound
This paper cites Stochastic volatility modeling.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Stochastic volatility modeling
Reference 6
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:08.527805Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation afce22f0-0a23-466b-b286-e76d1d734c7f · outbound
This paper cites Weak approximations and VIX option price expansions in forward variance curve models.Quantitative Finance, 23(9):1259–1283, 2023.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Weak approximations and VIX option price expansions in forward variance curve models.Quantitative Finance, 23(9):1259–1283, 2023
Reference 7
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:08.277147Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation c97396d4-e0d1-409e-bc51-a690211b9dbf · outbound
This paper cites Pricing and calibration in local volatility models via fast quantization.Available at SSRN 2495829, 2014.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Pricing and calibration in local volatility models via fast quantization.Available at SSRN 2495829, 2014
Reference 8
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:08.034608Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 76d47c2e-81a8-4c5d-987b-3b83e16cfb93 · outbound
This paper cites Pricing via recursive quan- tization in stochastic volatility models.Quantitative Finance, 17(6):855–872, 2017.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Pricing via recursive quan- tization in stochastic volatility models.Quantitative Finance, 17(6):855–872, 2017
Reference 9
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:07.810815Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 6042b402-6f9e-443c-af73-2be21a73ccf3 · outbound
This paper cites Towards a theory of volatility trading.Option Pric- ing, Interest Rates and Risk Management, Handbooks in Mathematical Finance, 22(7):458–476, 2001.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Towards a theory of volatility trading.Option Pric- ing, Interest Rates and Risk Management, Handbooks in Mathematical Finance, 22(7):458–476, 2001
Reference 10
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:07.592406Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation e030bf1b-833a-4278-8c4f-cfe715cd14b0 · outbound
This paper cites Theinformation contentoftheS&P500indexandVIXoptionsonthedynamicsoftheS&P500index.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Theinformation contentoftheS&P500indexandVIXoptionsonthedynamicsoftheS&P500index
Reference 11
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:07.408790Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation f7344534-3029-4450-b768-ccd9ca504dda · outbound
This paper cites Joint cal- ibration to SPX and VIX options with signature-based models.Mathematical Fi- nance, 2023.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Joint cal- ibration to SPX and VIX options with signature-based models.Mathematical Fi- nance, 2023
Reference 12
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:07.159952Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 404964a4-0328-453c-a68a-e6df3124245c · outbound
This paper cites The VIX future in Bergomi models: Fast approximation formulas and joint calibration with S&P 500 skew.SIAM Journal on Financial Mathematics, 13(4):1418–1485, 2022.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation The VIX future in Bergomi models: Fast approximation formulas and joint calibration with S&P 500 skew.SIAM Journal on Financial Mathematics, 13(4):1418–1485, 2022
Reference 13
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:06.882248Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation d7d317d0-7c71-45eb-b06c-8d972d0dfd81 · outbound
This paper cites Dispersion-constrainedmartingaleschrödingerproblemsandtheexact joint S&P 500/VIX smile calibration puzzle.Finance and Stochastics, 28(1):27–79, 2024.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Dispersion-constrainedmartingaleschrödingerproblemsandtheexact joint S&P 500/VIX smile calibration puzzle.Finance and Stochastics, 28(1):27–79, 2024
Reference 14
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:06.633377Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 6206d568-c59e-4964-9cda-bdb0b1a63ba3 · outbound
This paper cites Does the term-structure of equity at-the-money skew really follow a power law?Risk, pages 1–6, August 2023.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Does the term-structure of equity at-the-money skew really follow a power law?Risk, pages 1–6, August 2023
Reference 15
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:06.376055Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 74a5a78d-6a65-4ba8-9ba8-685a65481733 · outbound
This paper cites Volatility models in practice: Rough, Path-dependent or Markovian?.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Volatility models in practice: Rough, Path-dependent or Markovian?
Reference 16
- Resolution
- verified exact
- local_arxiv, observed 2026-08-06T21:49:04.777991Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation d379b6d9-544f-4ed0-abfe-4413b7136b91 · outbound
This paper cites The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles.Risk, pages 1–6, July 2023.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles.Risk, pages 1–6, July 2023
Reference 17
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:06.113338Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 57c0f5da-db17-4efe-94b7-50767391a27c · outbound
This paper cites Joint pricing of VIX and SPX options with stochastic volatility and jump models.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Joint pricing of VIX and SPX options with stochastic volatility and jump models
Reference 18
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:05.874583Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 4c9bf9df-f238-4e6e-9944-9357dff1a797 · outbound
This paper cites Callegaro O.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Callegaro O
Reference 19
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:05.624085Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 19accd2b-fb9e-4de1-9052-9cfe283c8abd · outbound
This paper cites Forward variance dynamics: Bergomi’s model revisited.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Forward variance dynamics: Bergomi’s model revisited
Reference 20
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:05.445170Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 9f479646-5ce9-435b-81b1-2e4daa408680 · outbound
This paper cites Optimal quadratic quantization for numerics: the Gaussian case.Monte Carlo Methods Appl., 9(2):135–165, 2003.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Optimal quadratic quantization for numerics: the Gaussian case.Monte Carlo Methods Appl., 9(2):135–165, 2003
Reference 21
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:05.238170Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 72df3578-ab3e-40e3-b86d-8069f6e60516 · outbound
This paper cites Recursive marginal quantization of the Euler scheme of a diffusion process.Applied Mathematical Finance, 22(5):463–498, 2015.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Recursive marginal quantization of the Euler scheme of a diffusion process.Applied Mathematical Finance, 22(5):463–498, 2015
Reference 22
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:05.102446Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Observation 95ff2ad9-f756-4700-97cb-4b2bf937c9b8 · outbound
This paper cites Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets.Quantitative Finance, 22(10):1805–1838, 2022.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets.Quantitative Finance, 22(10):1805–1838, 2022
Reference 23
- Resolution
- unresolved
- no resolver link, observed 2026-08-06T21:49:04.507291Z
Source-reported events for the cited work
Unavailable: canonical work link unavailable.
Observation e374084b-3106-4174-876f-b2ba1eb264ac · outbound
This paper cites Legendre-Gauss quadrature weights and nodes.Matlab function lgwt.
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation Legendre-Gauss quadrature weights and nodes.Matlab function lgwt
Reference 24
- Resolution
- verified fuzzy
- raw_fallback, observed 2026-08-06T21:49:04.936408Z
Source-reported events for the cited work
No event found in the named queried sources as of 2026-08-20T06:33:59.587034+00:00.
Pith citing papers
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