On VIX Futures in the Rough Bergomi Model

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Title: On VIX Futures in the Rough Bergomi Model
Authors: Jacquier, A
Muguruza, A
Item Type: Journal Article
Issue Date: 31-Dec-2017
URI: http://hdl.handle.net/10044/1/52945
DOI: https://dx.doi.org/10.2139/ssrn.2900248
Journal / Book Title: SSRN Electronic Journal
Copyright Statement: © The Authors
Sponsor/Funder: Engineering & Physical Science Research Council (EPSRC)
Funder's Grant Number: EP/M008436/1
Publication Status: Published
Appears in Collections:Financial Mathematics
Faculty of Natural Sciences



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