5 papers
Rough Bergomi turns grey
Antoine Jacquier, Adriano Oliveri Orioles, Zan Zuric
We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of mo…
Random neural networks for rough volatility
Antoine Jacquier, Zan Zuric
We construct a deep learning-based numerical algorithm to solve path-dependent partial differential equations arising in the context of rough volatility. Our approach is based on i…
Large and moderate deviations for importance sampling in the Heston model
Marc Geha, Antoine Jacquier, Zan Zuric
We provide a detailed importance sampling analysis for variance reduction in stochastic volatility models. The optimal change of measure is obtained using a variety of results from…
Deep Hedging under Rough Volatility
Blanka Horvath, Josef Teichmann, Zan Zuric
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance…
Robust pricing and hedging via neural SDEs
Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška +2
Mathematical modelling is ubiquitous in the financial industry and drives key decision processes. Any given model provides only a crude approximation to reality and the risk of usi…