46 citations · 46 across the 3 of their papers we have counts for
3 papers
q-fin.MF2019
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.…
q-fin.CP2018
Calibrating rough volatility models: a convolutional neural network approach
Henry Stone
In this paper we use convolutional neural networks to find the Hölder exponent of simulated sample paths of the rBergomi model, a recently proposed stock price model used in mathem…
math.PR2017★ 46 cited
Pathwise large deviations for the Rough Bergomi model
Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the no…