Deep calibration of the quadratic rough Heston model : compa

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

Related Keywords

Abi Jaber El , Abi Jaber , Monte Carlo , Mathieu Rosenbaum , Jianfei Zhang , Gatheral Jacquier , Jaber El , , Rough Volatility , Eston Process , Ulti Factor Model , Model Calibration , Six , Implied Volatility , Volatility Smile , Deep Learning , Cutting Edge , Anking , Derivatives ,