These codes have been used in the paper Joint calibration to SPX and VIX options with signature-based models by Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro.
For citations: Cuchiero C., Gazzani G., Möller J., Svaluto-Ferro S., Joint calibration to SPX and VIX options with signature-based models.
@article{CGMS-F:23,
title={{Joint calibration to SPX and VIX options with signature-based models}},
author={Cuchiero, C. and Gazzani, G. and Möller, J. and Svaluto-Ferro, S.},
journal={Preprint arXiv:2301.13235},
year={2023}}
This folder contains the codes used for the calibration proceedure, where file Joint_Calibration_const_params_greeks.py is used for the calibration using constant parameter and Joint_Calibration_Rolling.py for the calibration with time-varying parameters respectively.
The plots used in the paper.
Here you find the code for the Monte-Carlo sampling which is to be done prior to the calibration.