Calibrating rough volatility models: a convolutional neural network approach
classification
💱 q-fin.CP
keywords
convolutionalmodelneuralapplicationapproachcalibratingcalibrationcontextualise
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In this paper we use convolutional neural networks to find the H\"older exponent of simulated sample paths of the rBergomi model, a recently proposed stock price model used in mathematical finance. We contextualise this as a calibration problem, thereby providing a very practical and useful application.
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