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Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities.

https://doi.org/10.2139/ssrn.4645694
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Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
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Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
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Volatility Is (Mostly) Path-Dependent
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The Variance Gamma (V.G.) Model for Share Market Returns
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Joint Modeling and Calibration of SPX and VIX by Optimal Transport
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A Consistent Pricing Model for Index Options and Volatility Derivatives
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The Rough Hawkes Heston Stochastic Volatility Model
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Brownian Motion: A Financial Contradiction and Discontinuous Continuity Modeling
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Hyperbolic Distributions in Finance
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High dimensional Markovian trading of a single stock
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Infinitely Divisible Laws Associated with Hyperbolic Functions
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The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
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Processes of normal inverse Gaussian type
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