2 papers
q-fin.PR2026
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…
q-fin.PR2025
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…