I am having difficulty in recovering some result in smile dynamics of Bergomi https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1520443 , the paper gives (13αx+(6α252β)x2)(1-3\alpha x +(6\alpha^2 - \frac{5}{2}\beta)x^2) and (x(2ασ0α)x2)(x - (2\alpha-\sigma_0\alpha')x^2) part, while my own calculation gives (1αx+(α212β)x2)(1-\alpha x +(\alpha^2 - \frac{1}{2}\beta)x^2) and (x(ασ0α)x2)(x - (\alpha-\sigma_0\alpha')x^2) respectively, which will give different SSR ratio for this model. So I think something wrong with my calculation. Quickly sum up, in the paper it states given a model of smile as a function of moneyness, σ^(x)=σ0(1+α(σ0)x+12β(σ0)x2)\hat{\sigma}(x) = \sigma_0(1+\alpha(\sigma_0)x+\frac{1}{2}\beta(\sigma_0)x^2) one can calculate below greeks of option QQ , whose BS price is PBS(σ^(x))P^{BS}(\hat{\sigma}(x)) , as: 12S2d2QdS2=12SN(d)σ0T(13αx+(6α252β)x2)\frac{1}{2}S^2\frac{d^2Q}{dS^2}=\frac{1}{2}\frac{SN'(d)}{\sigma_0\sqrt{T}}(1-3\alpha x +(6\alpha^2 - \frac{5}{2}\beta)x^2) Sσ0d2QdSdσ0=SN(d)σ0T(x(2ασ0α)x2)S\sigma_0\frac{d^2Q}{dSd\sigma_0}=\frac{SN'(d)}{\sigma_0\sqrt{T}}(x - (2\alpha-\sigma_0\alpha')x^2) Here is how I approached it. By checking the context I suppose calculation of d2QdSdσ0\frac{d^2Q}{dSd\sigma_0} it should be using BS greeks at σ=σ^(x)\sigma=\hat{\sigma}(x) and link ddσ0=dσ^dσ0ddσ^\frac{d}{d\sigma_0}=\frac{d\hat{\sigma}}{d\sigma_0}\frac{d}{d\hat{\sigma}} . Giving a go based on that, I get gamma theta as: 12S2d2PBS(σ^)dS2=12SN(d)σ0Tσ0σ^(x)\frac{1}{2}S^2\frac{d^2P^{BS}(\hat{\sigma})}{dS^2}=\frac{1}{2}\frac{SN'(d)}{\sigma_0\sqrt{T}}\frac{\sigma_0}{\hat{\sigma}(x)} and doing taylor expansion at order 2 in x and order 0 in T, σ0σ^(x):=f(x)=11+α(σ0)x+12β(σ0)x21αx+(α212β)x2\frac{\sigma_0}{\hat{\sigma}(x)}:=f(x)=\frac{1}{1+\alpha(\sigma_0)x+\frac{1}{2}\beta(\sigma_0)x^2}\sim 1-\alpha x + (\alpha^2-\frac{1}{2}\beta)x^2 Similar to vanna theta, I get Sσ0d2PBSdSdσ0=Sσ0×vannaBS×dσ^dσ0=SN(d)σ0Tσ02Tx+12σ^2Tσ^T1σ^(σ^σ0+σ0(αx+12βx2))S\sigma_0\frac{d^2P^{BS}}{dSd\sigma_0}=S\sigma_0\times vanna^{BS}\times\frac{d\hat{\sigma}}{d\sigma_0}=\frac{SN'(d)}{\sigma_0\sqrt{T}}\sigma_0^2\sqrt{T}\frac{x+\frac{1}{2}\hat{\sigma}^2T}{\hat{\sigma}\sqrt{T}}\frac{1}{\hat{\sigma}}(\frac{\hat{\sigma}}{\sigma_0}+\sigma_0(\alpha'x+\frac{1}{2}\beta'x^2)) , where α=dασ0\alpha'=\frac{d\alpha}{\sigma_0} . And finally still using f(x)f(x) above I get Sσ0d2PBSdSdσ0=SN(d)σ0T(x(ασ0α)x2)S\sigma_0\frac{d^2P^{BS}}{dSd\sigma_0}=\frac{SN'(d)}{\sigma_0\sqrt{T}}(x - (\alpha-\sigma_0\alpha')x^2)