3 papers
q-fin.CP2025
Efficient Simulation and Calibration of the Rough Bergomi Model via Wasserstein Distance
Changqing Teng, Guanglian Li
Despite the empirical success of the rough Bergomi (rBergomi) model in modeling volatility dynamics, its practical use remains challenging due to high computational complexity in b…
q-fin.CP2024
Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
Changqing Teng, Guanglian Li
Existing deep learning-based calibration scheme for rough volatility models predominantly rely on supervised learning frameworks, which incur significant computational costs due to…
q-fin.CP2024
Neural option pricing for rough Bergomi model
Changqing Teng, Guanglian Li
The rough Bergomi (rBergomi) model can accurately describe the historical and implied volatilities, and has gained much attention in the past few years. However, there are many hid…