5 citations · 8 across the 5 of their papers we have counts for
7 papers · 1 filter
Risk premium and rough volatility
Ofelia Bonesini, Antoine Jacquier, Aitor Muguruza
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pric…
Rough multifactor volatility for SPX and VIX options
Antoine Jacquier, Aitor Muguruza, Alexandre Pannier
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-fa…
Not so Particular about Calibration: Smile Problem Resolved
Aitor Muguruza
We present a novel Monte Carlo based LSV calibration algorithm that applies to all stochastic volatility models, including the non-Markovian rough volatility family. Our framework…
On deep calibration of (rough) stochastic volatility models
Christian Bayer, Blanka Horvath, Aitor Muguruza +2
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 ca…
Asymptotics for volatility derivatives in multi-factor rough volatility models
Chloe Lacombe, Aitor Muguruza, Henry Stone
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle.…
Deep Learning Volatility
Blanka Horvath, Aitor Muguruza, Mehdi Tomas
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 consiste…
On smile properties of volatility derivatives and exotic products: understanding the VIX skew
Elisa Alòs, David García-Lorite, Aitor Muguruza
We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach, based on Malliavin calcul…