Y. Ait-sahalia and J. Jacod, Estimating the degree of activity of jumps in high frequency data, The Annals of Statistics, vol.37, issue.5A, pp.556-584, 2009.
DOI : 10.1214/08-AOS640

Y. Ait-sahalia and R. Kimmel, Maximum likelihood estimation of stochastic volatility models, Journal of Financial Economics, vol.83, pp.413-452, 2007.
DOI : 10.3386/w10579

J. Baldeaux and A. Badran, Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model, Applied Mathematical Finance, vol.4, issue.4, pp.299-312, 2014.
DOI : 10.1002/fut.20512

F. M. Bandi and R. Reno, Time-varying leverage effects, Journal of Econometrics, vol.169, issue.1, pp.94-113, 2012.
DOI : 10.1016/j.jeconom.2012.01.010

Q. Bao, S. Li, and D. Gong, Pricing VXX option with default risk and positive volatility skew, European Journal of Operational Research, vol.223, issue.1, pp.246-255, 2012.
DOI : 10.1016/j.ejor.2012.06.006

C. Bardgett, M. Leippold, and E. Gourier, Inferring volatility dynamics and risk-premia from the S&P 500 and VIX markets. Working Paper, 2015.
DOI : 10.2139/ssrn.2296826

C. Bayer, P. Friz, and J. Gatheral, Pricing under rough volatility, Quantitative Finance, vol.8, issue.3, pp.887-904, 2016.
DOI : 10.1239/jap/1014842548

C. Bayer, J. Gatheral, and M. Karlsmark, Fast Ninomiya???Victoir calibration of the double-mean-reverting model, Quantitative Finance, vol.1, issue.1, pp.1813-1829, 2013.
DOI : 10.1080/07362999008809220

L. Bergomi, Smile Dynamics I, SSRN Electronic Journal, vol.17, pp.117-123, 2004.
DOI : 10.2139/ssrn.1493294

L. Bergomi, Smile Dynamics III, SSRN Electronic Journal, vol.18, pp.67-73, 2008.
DOI : 10.2139/ssrn.1493308

L. Bergomi, Smile Dynamics IV. Risk, pp.94-100, 2009.
DOI : 10.2139/ssrn.1520443

H. Buehler, Consistent Variance Curve Models, Finance and Stochastics, vol.357, issue.2, pp.178-203, 2006.
DOI : 10.1007/s00780-006-0008-2

R. Cont, . Th, and . Kokholm, A Consistent Pricing Model for Index Options and Volatility Derivatives, Mathematical Finance, vol.12, issue.8, pp.1199-1218, 2012.
URL : https://hal.archives-ouvertes.fr/hal-00801536

R. Cont and C. Mancini, Nonparametric Tests for Analyzing the Fine Structure of Price Fluctuations, SSRN Electronic Journal, pp.2007-2020, 2007.
DOI : 10.2139/ssrn.1081491

P. Christoffersen, K. Jacobs, and K. Mimouni, Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices, The Review of Financial Studies, issue.8, p.23, 2010.

P. Date and S. Mitra, Regime switching volatility calibration by the Baum-Welch method, Journal of Computational and Applied Mathematics, vol.234, issue.12, pp.3243-3260, 2010.

A. P. Dempster, N. M. Laird, and D. B. Rubin, Maximum likelihood from incomplete data via the EM algorithm. Discussion, J.R. Stat.Soc, vol.39, pp.1-38, 1977.

G. Drimus, Options on realized variance by transform methods: a non-affine stochastic volatility model, Quantitative Finance, vol.11, issue.4, pp.1679-1694, 2012.
DOI : 10.1145/321341.321351

J. Duan and C. Yeh, Jump and volatility risk premiums implied by VIX, Journal of Economic Dynamics and Control, vol.34, issue.11, pp.2232-2244, 2010.
DOI : 10.1016/j.jedc.2010.05.006

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.135.8725

M. Dueker, Markov switching in GARCH processes and mean-reverting stock-market volatility, Journal of Business and Economic Statistics, vol.15, pp.26-34, 1997.
DOI : 10.1080/07350015.1997.10524683

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.27.5828

B. Dupire, A Unified Theory of Volatility Derivatives Pricing : The Classic Collection, Risk Books, 2004.

G. B. Durham, SV mixture models with application to S&P 500 index returns, Journal of Financial Economics, vol.85, issue.3, pp.822-856, 2007.
DOI : 10.1016/j.jfineco.2006.06.005

R. J. Elliot, L. Chan, J. W. Lau, and T. K. Siu, Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model, Stochastic Analysis and Applications, vol.46, issue.4, pp.821-843, 2007.
DOI : 10.1007/BF01205234

R. J. Elliot, L. Chan, and T. K. Siu, Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching, Applied Mathematical Finance, vol.2, issue.1, pp.41-62, 2007.
DOI : 10.1214/aoap/1177005776

J. Gatheral, Consistent Modeling of SPX and VIX options. Presented at the Fifth World Congress of the Bachelier Finance Society in London, 2008.

G. Fort and E. Moulines, Convergence of the Monte Carlo expecta-tion maximization for curved exponential families, Ann. Stat, vol.4, pp.31-1220

S. Goutte, Pricing and Hedging in Stochastic Volatility Regime Switching Models, Journal of Mathematical Finance, vol.03, issue.01, pp.70-80, 2013.
DOI : 10.4236/jmf.2013.31006

URL : http://doi.org/10.4236/jmf.2013.31006

S. Goutte and A. Ngoupeyou, DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL, Journal of applied mathematics & informatics, vol.31, issue.5_6, pp.711-732, 2013.
DOI : 10.14317/jami.2013.711

URL : https://hal.archives-ouvertes.fr/hal-00625683

S. Goutte and B. Zou, Continuous time regime switching model applied to foreign exchange rate, Mathematical Finance letters, vol.8, pp.1-37, 2013.
URL : https://hal.archives-ouvertes.fr/hal-00643900

J. Hamilton, Regime switching models The New Palgrave Dictionary of Economics, 2008.

S. L. Heston, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, vol.6, issue.2, pp.327-343, 1993.
DOI : 10.1093/rfs/6.2.327

E. Hillebrand, Neglecting parameter changes in GARCH models, Journal of Econometrics, vol.129, issue.1-2, pp.121-138, 2005.
DOI : 10.1016/j.jeconom.2004.09.005

C. S. Jones, The dynamics of stochastic volatility: evidence from underlying and options markets, Journal of Econometrics, vol.116, issue.1-2, pp.181-224, 2003.
DOI : 10.1016/S0304-4076(03)00107-6

J. Mencìa and E. Sentana, Valuation of VIX derivatives, Journal of Financial Economics, vol.108, issue.2, pp.367-391, 2013.
DOI : 10.1016/j.jfineco.2012.12.003

M. Musiela and N. Rutkowski, Martingale Methods in Financial Modelling, 2005.
DOI : 10.1007/978-3-662-22132-7

A. Papanicolau and R. Sircar, A regime-switching Heston model for VIX and S&P 500 implied volatilities, Quantitative Finance, vol.11, issue.10, pp.1811-1827, 2014.
DOI : 10.1198/jbes.2010.08342

E. Renault and N. Touzi, OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL, Mathematical Finance, vol.8, issue.1, pp.279-302, 1996.
DOI : 10.1016/0304-405X(87)90009-2

A. Sepp, Pricing options on realized variance in the Heston model with jumps in returns and volatility, The Journal of Computational Finance, vol.11, issue.4, pp.33-70, 2008.
DOI : 10.21314/JCF.2008.185

V. Todorov, Variance Risk-Premium Dynamics: The Role of Jumps, Review of Financial Studies, vol.23, issue.1, 2010.
DOI : 10.1093/rfs/hhp035

A. B. Trolle and E. S. Schwartz, A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives, Review of Financial Studies, vol.22, issue.5, 2009.
DOI : 10.1093/rfs/hhn040

H. Y. Wong and Y. W. Lo, Option pricing with mean reversion and stochastic volatility, European Journal of Operational Research, vol.197, issue.1, pp.179-187, 2009.
DOI : 10.1016/j.ejor.2008.05.014

L. Wu and F. Zhang, Fast swaption pricing under the market model with a square-root volatility process, Quantitative Finance, vol.6, issue.2, pp.163-180, 2008.
DOI : 10.2307/2329571