Search Results - "Muguruza, Aitor"

Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models by Horvath, Blanka, Muguruza, Aitor, Tomas, Mehdi

“…We present a neural network-based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The…”
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Asymptotics for volatility derivatives in multi-factor rough volatility models by Lacombe, Chloe, Muguruza, Aitor, Stone, Henry

“…We study the small-time implied volatility smile for Realised Variance options, and investigate the effect of correlation in multi-factor models on the…”
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On VIX futures in the rough Bergomi model by Jacquier, Antoine, Martini, Claude, Muguruza, Aitor

“…The rough Bergomi model introduced by Bayer et al. [Quant. Finance, 2015, 1-18] has been outperforming conventional Markovian stochastic volatility models by…”
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Functional central limit theorems for rough volatility by Horvath, Blanka, Jacquier, Antoine, Muguruza, Aitor, Søjmark, Andreas

“…The non-Markovian nature of rough volatility makes Monte Carlo methods challenging, and it is in fact a major challenge to develop fast and accurate simulation…”
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Clustering market regimes using the Wasserstein distance by Horvath, Blanka, Issa, Zacharia, Muguruza, Aitor

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Not so Particular about Calibration: Smile Problem Resolved by Muguruza, Aitor

“…We present a novel Monte Carlo based LSV calibration algorithm that applies to all stochastic volatility models, including the non-Markovian rough volatility…”
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Risk premium and rough volatility by Bonesini, Ofelia, Jacquier, Antoine, Muguruza, Aitor

“…One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical…”
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Rough multifactor volatility for SPX and VIX options by Jacquier, Antoine, Muguruza, Aitor, Pannier, Alexandre

“…We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility…”
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Clustering Market Regimes using the Wasserstein Distance by Horvath, Blanka, Issa, Zacharia, Muguruza, Aitor

“…The problem of rapid and automated detection of distinct market regimes is a topic of great interest to financial mathematicians and practitioners alike. In…”
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Portfolio optimisation with options by Chan, Jonathan Raimana, Huckle, Thomas, Jacquier, Antoine, Muguruza, Aitor

“…We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions,…”
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A Neural RDE approach for continuous-time non-Markovian stochastic control problems by Hoglund, Melker, Ferrucci, Emilio, Hernandez, Camilo, Gonzalez, Aitor Muguruza, Salvi, Cristopher, Sanchez-Betancourt, Leandro, Zhang, Yufei

“…We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural…”
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Asymptotics for volatility derivatives in multi-factor rough volatility models by Lacombe, Chloe, Muguruza, Aitor, Stone, Henry

“…We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large…”
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Deep Learning Volatility by Horvath, Blanka, Muguruza, Aitor, Tomas, Mehdi

“…We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The…”
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On smile properties of volatility derivatives and exotic products: understanding the VIX skew by Alòs, Elisa, García-Lorite, David, Muguruza, Aitor

“…We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach,…”
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On deep calibration of (rough) stochastic volatility models by Bayer, Christian, Horvath, Blanka, Muguruza, Aitor, Stemper, Benjamin, Tomas, Mehdi

“…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…”
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On VIX Futures in the rough Bergomi model by Jacquier, Antoine, Martini, Claude, Muguruza, Aitor

“…The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing…”
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Functional central limit theorems for rough volatility by Horvath, Blanka, Jacquier, Antoine, Muguruza, Aitor, Sojmark, Andreas

“…The non-Markovian nature of rough volatility processes makes Monte Carlo methods challenging and it is in fact a major challenge to develop fast and accurate…”
Get full text