Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: VIX pricing in the rBergomi model under a regime switching change of
  measure   The rBergomi model under the physical measure consists of modeling the
log-variance as a truncated Brownian semi-stationary process. Then, a
deterministic change of measure is applied. The rBergomi model is able to
reproduce observed market SP500 smiles with few parameters, but by virtue of
the deterministic change of measure, produces flat VIX smiles, in contrast to
the upward sloping smiles observed in the market. We use the exact solution for
a certain inhomogeneous fractional Ornstein-Uhlenbeck equation to build a
regime switching stochastic change of measure for the rBergomi model that both
yields upward slopping VIX smiles and is equipped with an efficient
semi-analytic Monte Carlo method to price VIX options. The model also allows an
approximation of the VIX, which leads to a significant reduction of the
computational cost of pricing VIX options and futures. A variance reduction
technique based on the underlying continuous time Markov chain allows us to
further reduce the computational cost. We verify the capabilities of our model
by calibrating it to observed market smiles and discuss the results.

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The categories of this paper are: cmp-lg
28
The categories of this paper are: alg-geom
11
The categories of this paper are: hep-lat
27
The categories of this paper are: comp-gas
5
The categories of this paper are: gr-qc
22
The categories of this paper are: chao-dyn
13
The categories of this paper are: quant-ph
2
The categories of this paper are: math
3
The categories of this paper are: physics
1
The categories of this paper are: cs
30
The categories of this paper are: q-alg
4
The categories of this paper are: cond-mat
24
The categories of this paper are: dg-ga
12
The categories of this paper are: nucl-th
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The categories of this paper are: supr-con
23
The categories of this paper are: solv-int