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

Automatic differentiation for diffusion operator integral variance reduction - Journal of Computational Finance

This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework ....

Monte Carlo , Monte Carlo Simulation , Eston Process , Option Pricing , Carrier Options , Original Research ,

Rough volatility moves to exotic frontiers

New simulation scheme clears the way for broader application of the rough Heston model ....

New York , United States , Monte Carlo , Martin Keller , Leif Andersen , Jim Gatheral , Pietro Rossi , City University Of New York , Baruch College , University Of Bologna , City University , Martin Keller Ressel , Rough Volatility , Eston Process , Exotic Options , Derivatives Pricing , Carrier Options , Implied Volatility , Sur Take ,