2 papers
q-fin.CP2026
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.CP2026
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…