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

DOI10.1080/14697688.2020.1817974zbMATH Open1479.91400OpenAlexW3095372661MaRDI QIDQ5014167FDOQ5014167

Authors: Blanka Horvath, Aitor Muguruza, Mehdi Tomas

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1817974

Recommendations

Calibrating rough volatility models: a convolutional neural network approach
A neural network-based framework for financial model calibration
Deep Curve-Dependent PDEs for Affine Rough Volatility
scientific article; zbMATH DE number 1304889
Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints

machine learning Monte Carlo model assessment calibration Volterra process rough volatility volatility modelling accurate price approximation

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

Algorithm 778: L-BFGS-B
Title not available (Why is that?)
Title not available (Why is that?)
A Simplex Method for Function Minimization
Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
Deep learning
An Algorithm for Least-Squares Estimation of Nonlinear Parameters
A method for the solution of certain non-linear problems in least squares
Multilayer feedforward networks are universal approximators
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Title not available (Why is that?)
Asymptotic analysis for stochastic volatility: martingale expansion
Derivative-free optimization: a review of algorithms and comparison of software implementations
Quelques applications de la formule de changement de variables pour les semimartingales
Volatility is rough
Probability distribution in the SABR model of stochastic volatility
Approximation and estimation bounds for artificial neural networks
Hybrid scheme for Brownian semistationary processes
On the probability of hitting the boundary for Brownian motions on the SABR plane
Approximation properties of a multilayered feedforward artificial neural network
Arbitrage-free SVI volatility surfaces
Pricing under rough volatility
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
On VIX futures in the rough Bergomi model
Perfect hedging in rough Heston models
The characteristic function of rough Heston models
Pathwise large deviations for the rough Bergomi model
Asymptotic behaviour of randomised fractional volatility models
Provable approximation properties for deep neural networks
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
Deep hedging
Short-time near-the-money skew in rough fractional volatility models
A regularity structure for rough volatility
On an efficient multiple time step Monte Carlo simulation of the SABR model
Dirichlet forms and finite element methods for the SABR model

Cited In (35)

Calibrating rough volatility models: a convolutional neural network approach
A neural network approach to understanding implied volatility movements
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
A neural network approach to understanding implied volatility movements
Robustness and sensitivity analyses of rough Volterra stochastic volatility models
From microscopic price dynamics to multidimensional rough volatility models
Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk
Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks
SABR equipped with AI wings
A neural network-based framework for financial model calibration
Approximation rates for deep calibration of (rough) stochastic volatility models
A generative model of a limit order book using recurrent neural networks
Neural network calibrated stochastic processes: forecasting financial assets
Deep differentiable reinforcement learning and optimal trading
A two-step framework for arbitrage-free prediction of the implied volatility surface
Calibration to FX triangles of the 4/2 model under the benchmark approach
Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
On the latent dimension of deep autoencoders for reduced order modeling of PDEs parametrized by random fields
Applications of artificial neural networks to simulating Lévy processes
On a neural network to extract implied information from American options
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
A gradient-based calibration method for the Heston model
Deep Curve-Dependent PDEs for Affine Rough Volatility
Reinforcement learning with dynamic convex risk measures
Stochastic processes adapted by neural networks with application to climate, energy, and finance
An unsupervised deep learning approach to solving partial integro-differential equations
Deep calibration of financial models: turning theory into practice
Derivatives of feed-forward neural networks and their application in real-time market risk management
Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
Deep calibration with random grids
Applications of fractional gradient descent method with adaptive momentum in BP neural networks
Physics-informed convolutional transformer for predicting volatility surface
CBI-time-changed Lévy processes for multi-currency modeling
Unbiased deep solvers for linear parametric PDEs

Uses Software

L-BFGS-B
MultiMin
DFVLR-SQP

This page was built for publication: Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014167)