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Deep calibration of the quadratic rough Heston model
Rough vol models are calibrated and fitted to SPX and Vix smiles ....
Abi Jaber El
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Abi Jaber
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Monte Carlo
,
Mathieu Rosenbaum
,
Jianfei Zhang
,
Gatheral Jacquier
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Jaber El
,
Rough Volatility
,
Eston Process
,
Ulti Factor Model
,
Model Calibration
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Implied Volatility
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Volatility Smile
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Deep Learning
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Cutting Edge
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