A general framework for a joint calibration of VIX and VXX options

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