Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167)

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scientific article; zbMATH DE number 7436774
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Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
scientific article; zbMATH DE number 7436774

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    Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (English)
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    1 December 2021
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    rough volatility
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    volatility modelling
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    Volterra process
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    machine learning
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    accurate price approximation
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    calibration
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    model assessment
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    Monte Carlo
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