Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
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Publication:5014167
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Cited in
(35)- A neural network approach to understanding implied volatility movements
- A gradient-based calibration method for the Heston model
- Stochastic processes adapted by neural networks with application to climate, energy, and finance
- Neural network calibrated stochastic processes: forecasting financial assets
- On the latent dimension of deep autoencoders for reduced order modeling of PDEs parametrized by random fields
- Deep calibration with random grids
- From microscopic price dynamics to multidimensional rough volatility models
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints
- Physics-informed convolutional transformer for predicting volatility surface
- CBI-time-changed Lévy processes for multi-currency modeling
- A neural network approach to understanding implied volatility movements
- Approximation rates for deep calibration of (rough) stochastic volatility models
- An unsupervised deep learning approach to solving partial integro-differential equations
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- Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk
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- Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
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