We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular , we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in commodity smile modeling , we present a multi-factor stochastic local-volatility model able to jointly calibrate plain vanilla options both on VIX futures and VXX notes  . We discuss numerical results on real market data by highlighting the impact of model parameters on implied volatilities.
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in commodity smile modelling , we present a multi-factor stochastic-local volatility model that is able to jointly calibrate plain vanilla options both on VIX futures and VXX notes , thus going beyond the failure of purely stochastic or simply local volatility models . We discuss numerical results on real market data by highlighting the impact of model parameters on implied volatilities.
D
,
R
modeling
modelling
R
stochastic local-volatility model
stochastic-local volatility model that is
A
, thus going beyond the failure of purely stochastic or simply local volatility models