Related papers: Tensoring volatility calibration

Techniques from deep learning play a more and more important role for the important task of calibration of financial models. The pioneering paper by Hernandez [Risk, 2017] was a catalyst for resurfacing interest in research in this area. In…

The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo simulation has become the industry standard. In low…

Sparked by Al\`os, Le\'on, and Vives (2007); Fukasawa (2011, 2017); Gatheral, Jaisson, and Rosenbaum (2018), so-called rough stochastic volatility models such as the rough Bergomi model by Bayer, Friz, and Gatheral (2016) constitute the…

In a recent paper "Deep Learning Volatility" a fast 2-step deep calibration algorithm for rough volatility models was proposed: in the first step the time consuming mapping from the model parameter to the implied volatilities is learned by…

We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models…

Tensor methods have become a promising tool to solve high-dimensional problems in the big data era. By exploiting possible low-rank tensor factorization, many high-dimensional model-based or data-driven problems can be solved to facilitate…

Existing deep learning-based calibration scheme for rough volatility models predominantly rely on supervised learning frameworks, which incur significant computational costs due to the necessity of generating massive synthetic training…

In a previous study [B. Li, S. Tang and H. Yu, Commun. Comput. Phy. 27(2):379-411, 2020], it is shown that deep neural networks built with rectified power units (RePU) as activation functions can give better approximation for sufficient…

Recently, deep learning techniques are gradually replacing traditional statistical and machine learning models as the first choice for price forecasting tasks. In this paper, we leverage probabilistic deep learning for inferring the…

The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm. We apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model.…

We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. (2021) with the pointwise two-stage calibration of Bayer et al. (2018) and Liu et al.…

Complex-Valued Neural Networks (CVNNs) have significant advantages in handling tasks that involve complex numbers. However, existing CVNNs are unable to quantify predictive uncertainty. We propose, for the first time, dropout-based Bayesian…

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…

Bayesian Neural Networks (BNNs) offer a principled and natural framework for proper uncertainty quantification in the context of deep learning. They address the typical challenges associated with conventional deep learning methods, such as…

The Heston stochastic volatility model is a widely used tool in financial mathematics for pricing European options. However, its calibration remains computationally intensive and sensitive to local minima due to the model's nonlinear…

Accurate probabilistic predictions can be characterized by two properties -- calibration and sharpness. However, standard maximum likelihood training yields models that are poorly calibrated and thus inaccurate -- a 90% confidence interval…

The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in…

Vertex centrality measures are a multi-purpose analysis tool, commonly used in many application environments to retrieve information and unveil knowledge from the graphs and network structural properties. However, the algorithms of such…

Recent advances in deep learning have enabled us to address the curse of dimensionality (COD) by solving problems in higher dimensions. A subset of such approaches of addressing the COD has led us to solving high-dimensional PDEs. This has…

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately…