{"id":"W4205302802","doi":"10.1016/j.physa.2022.126941","title":"Pricing variance swaps under subordinated Jacobi stochastic volatility models","year":2022,"lang":"en","type":"article","venue":"Physica A Statistical Mechanics and its Applications","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":false,"ca_institutions":"Bank of Canada; University of Ottawa","funders":"","keywords":"Variance swap; Stochastic volatility; Mathematics; Heston model; Volatility (finance); Valuation of options; Applied mathematics; Polynomial; Econometrics; Mathematical analysis; Forward volatility; SABR volatility model","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["metaepi_narrow"],"consensus_categories":[],"category_scores_codex":[0.000255473,0.0002024908,0.0003690968,0.00009315673,0.0008577084,0.00006148334,0.0003017214,0.00004960682,0.0001567627],"category_scores_gemma":[0.00008360718,0.0002526341,0.00005327403,0.0006570417,0.00003172579,0.0001479614,0.0002496598,0.0003070239,0.00007157295],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001161264,"about_ca_system_score_gemma":0.00005153703,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0000778954,"about_ca_topic_score_gemma":0.000004197628,"domain_scores_codex":[0.9982912,0.00001030578,0.000533447,0.0007063312,0.0000995177,0.0003592182],"domain_scores_gemma":[0.9988406,0.0002998602,0.0002706698,0.0003603827,0.0000692802,0.0001591798],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00001068357,0.0002461001,9.35572e-7,0.00002451407,0.0000224536,2.660295e-7,0.0001010444,0.001444799,0.00009572957,0.9966162,0.000063682,0.001373544],"study_design_scores_gemma":[0.0001552452,0.00004174351,0.00006703657,0.000001948952,0.00001349021,0.000002236173,0.0000482288,0.4211557,0.000003373338,0.5764489,0.001894588,0.0001675937],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.0003815546,0.0005777873,0.993924,0.0007327613,0.00006565428,0.0008234366,0.002394315,0.00008158179,0.001018875],"genre_scores_gemma":[0.9912249,0.00003321237,0.005733623,0.0002815093,0.00007256005,0.002417597,0.0001347556,0.00003688283,0.00006490331],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.9908434,"threshold_uncertainty_score":0.9999926,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02979160473597606,"score_gpt":0.23856386035659,"score_spread":0.2087722556206139,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}