A hybrid Monte Carlo approximation for rough Bergomi simulation combined with Wasserstein distributional calibration yields stable pricing accuracy and improved parameter recovery over standard MSE fitting.
Why the 1-wasserstein distance is the area between the two marginal cdfs
2 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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Vertex misalignment impairs changepoint localization in network time series when the signal is in joint distributions of latent positions, and graph matching or optimal transport cannot correct the impairment.
citing papers explorer
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Efficient Simulation and Calibration of the Rough Bergomi Model via Wasserstein Distance
A hybrid Monte Carlo approximation for rough Bergomi simulation combined with Wasserstein distributional calibration yields stable pricing accuracy and improved parameter recovery over standard MSE fitting.
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Vertex misalignment and changepoint localization in network time series
Vertex misalignment impairs changepoint localization in network time series when the signal is in joint distributions of latent positions, and graph matching or optimal transport cannot correct the impairment.