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Deep calibration of the quadratic rough Heston model

Published: September 28, 2022

Rough vol models are calibrated and fitted to SPX and Vix smiles

Source: risk.net

Related Topics:

Abi Jaber ElAbi JaberMonte CarloMathieu RosenbaumJianfei ZhangGatheral JacquierJaber ElRough VolatilityEston ProcessUlti Factor ModelModel CalibrationImplied VolatilityVolatility SmileDeep LearningCutting Edge

Automatic differentiation for diffusion operator integral variance reduction - Journal of Computational Finance

Published: February 18, 2022

This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework

Source: risk.net

Related Topics:

Monte CarloMonte Carlo SimulationEston ProcessOption PricingCarrier OptionsOriginal Research

Rough volatility moves to exotic frontiers

Published: February 11, 2022

New simulation scheme clears the way for broader application of the rough Heston model

Source: risk.net

Related Topics:

New YorkUnited StatesMonte CarloMartin KellerLeif AndersenJim GatheralPietro RossiCity University Of New YorkBaruch CollegeUniversity Of BolognaCity UniversityMartin Keller ResselRough VolatilityEston ProcessExotic OptionsDerivatives PricingCarrier OptionsImplied VolatilitySur Take