Calibrating rough volatility models: a convolutional neural network approach
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Publication:4991028
DOI10.1080/14697688.2019.1654126zbMath1466.91318arXiv1812.05315OpenAlexW2971337067WikidataQ127311045 ScholiaQ127311045MaRDI QIDQ4991028
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.05315
Fractional processes, including fractional Brownian motion (60G22) Learning and adaptive systems in artificial intelligence (68T05) Financial markets (91G15)
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