A two-step deep calibration method learns the rough Bergomi implied-volatility map with a small neural network and then calibrates with Levenberg-Marquardt, achieving millisecond calibration.
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On deep calibration of (rough) stochastic volatility models
A two-step deep calibration method learns the rough Bergomi implied-volatility map with a small neural network and then calibrates with Levenberg-Marquardt, achieving millisecond calibration.