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Found 3 papers, 1 papers with code
Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called "consistent modeling" problem.
Reinforcement Learning for Financial Index Tracking
We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking error.
EM Algorithm and Stochastic Control in Economics
Similar to the EM algorithm, the EM-C algorithm has the monotonicity of performance improvement in each iteration, leading to good convergence properties.
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