Deep calibration of rough stochastic volatility models

8 October 2018

Papers citing "Deep calibration of rough stochastic volatility models"

5 / 5 papers shown

Title
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models Y. S. Kim H. Kim Jaehyung Choi 20 2 0 15 Mar 2023
Pricing options on flow forwards by neural networks in Hilbert space F. Benth Nils Detering Luca Galimberti 32 7 0 17 Feb 2022
Robust pricing and hedging via neural SDEs Patryk Gierjatowicz Marc Sabate Vidales David Siska Lukasz Szpruch Zan Zuric 27 34 0 08 Jul 2020
Weak error analysis for stochastic gradient descent optimization algorithms A. Bercher Lukas Gonon Arnulf Jentzen Diyora Salimova 36 4 0 03 Jul 2020
Unbiased deep solvers for linear parametric PDEs Marc Sabate Vidales David Siska Lukasz Szpruch OOD 32 7 0 11 Oct 2018