Paper Citation Record · LEDGER

Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation

As of 18 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.

pith.paper-citation-record.v1
2506.23409 v1

Coverage vector

measured 24 of 24 reference resolution

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Source: paper_references, paper_reference_links, observed 2026-08-06T21:49:04.593401Z

measured 24 of 24 standing notices

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measured 0 of 1 external citation measurements

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Reference resolution

24 of 24 outbound references displayed

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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 2026-08-18T06:34:40.430872+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

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No event found in the named queried sources as of 2026-08-18T06:34:40.430872+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

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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

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No event found in the named queried sources as of 2026-08-18T06:34:40.430872+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

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No event found in the named queried sources as of 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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

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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

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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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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 2026-08-18T06:34:40.430872+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

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No event found in the named queried sources as of 2026-08-18T06:34:40.430872+00:00.

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