37 citations · 38 across the 2 of their papers we have counts for
4 papers
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…
Deep calibration of rough stochastic volatility models
Christian Bayer, Benjamin Stemper
Sparked by Alòs, León, and Vives (2007); Fukasawa (2011, 2017); Gatheral, Jaisson, and Rosenbaum (2018), so-called rough stochastic volatility models such as the rough Bergomi mode…
A regularity structure for rough volatility
Christian Bayer, Peter K. Friz, Paul Gassiat +2
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market…
Short-time near-the-money skew in rough fractional volatility models
Christian Bayer, Peter K. Friz, Archil Gulisashvili +2
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter . This regime recentl…