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Turbocharging Monte Carlo pricing for the rough Bergomi model

Citations

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Cited by:

  1. Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
  2. Giuseppe Brandi & T. Di Matteo, 2022. "Multiscaling and rough volatility: an empirical investigation," Papers 2201.10466, arXiv.org.
  3. Martin Keller-Ressel, 2022. "Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model," Papers 2207.13573, arXiv.org.
  4. Brandi, Giuseppe & Di Matteo, T., 2022. "Multiscaling and rough volatility: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 84(C).
  5. Andrew Alden & Carmine Ventre & Blanka Horvath, 2024. "Scalable Signature-Based Distribution Regression via Reference Sets," Papers 2410.09196, arXiv.org.
  6. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2022. "Short-dated smile under rough volatility: asymptotics and numerics," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 463-480, March.
  7. Henrique Guerreiro & Jo~ao Guerra, 2021. "Least squares Monte Carlo methods in stochastic Volterra rough volatility models," Papers 2105.04511, arXiv.org.
  8. Jan Matas & Jan Posp'iv{s}il, 2021. "On simulation of rough Volterra stochastic volatility models," Papers 2108.01999, arXiv.org, revised Aug 2022.
  9. Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023. "Local volatility under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
  10. Florian Bourgey & Stefano De Marco & Emmanuel Gobet, 2022. "Weak approximations and VIX option price expansions in forward variance curve models," Papers 2202.10413, arXiv.org, revised May 2022.
  11. Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jan 2024.
  12. Blanka Horvath & Josef Teichmann & Zan Zuric, 2021. "Deep Hedging under Rough Volatility," Papers 2102.01962, arXiv.org.
  13. Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
  14. Christian Bayer & Chiheb Ben Hammouda & Raul Tempone, 2018. "Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model," Papers 1812.08533, arXiv.org, revised Jan 2020.
  15. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Søjmark, 2024. "Functional central limit theorems for rough volatility," Finance and Stochastics, Springer, vol. 28(3), pages 615-661, July.
  16. Elisa Alos & Rupak Chatterjee & Sebastian Tudor & Tai-Ho Wang, 2018. "Target volatility option pricing in lognormal fractional SABR model," Papers 1801.08215, arXiv.org.
  17. Antoine Jacquier & Zan Zuric, 2023. "Random neural networks for rough volatility," Papers 2305.01035, arXiv.org.
  18. Henrique Guerreiro & João Guerra, 2021. "Least squares Monte Carlo methods in stochastic Volterra rough volatility models," Working Papers REM 2021/0176, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  19. Qinwen Zhu & Gr'egoire Loeper & Wen Chen & Nicolas Langren'e, 2020. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Papers 2007.02113, arXiv.org.
  20. Christian Bayer & Blanka Horvath & Aitor Muguruza & Benjamin Stemper & Mehdi Tomas, 2019. "On deep calibration of (rough) stochastic volatility models," Papers 1908.08806, arXiv.org.
  21. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Working Papers hal-03902513, HAL.
  22. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
  23. Siow Woon Jeng & Adem Kiliçman, 2021. "On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model," Mathematics, MDPI, vol. 9(22), pages 1-32, November.
  24. repec:hal:wpaper:hal-03909334 is not listed on IDEAS
  25. Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
  26. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Working Papers hal-02910724, HAL.
  27. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2023. "The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles," Post-Print hal-03909334, HAL.
  28. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
  29. Fabio Baschetti & Giacomo Bormetti & Pietro Rossi, 2023. "Deep calibration with random grids," Papers 2306.11061, arXiv.org, revised Jan 2024.
  30. Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Papers 2212.08297, arXiv.org.
  31. Siow Woon Jeng & Adem Kilicman, 2020. "Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
  32. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.
  33. Christian Bayer & Benjamin Stemper, 2018. "Deep calibration of rough stochastic volatility models," Papers 1810.03399, arXiv.org.
  34. Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles," Papers 2212.10917, arXiv.org, revised May 2023.
  35. Qinwen Zhu & Grégoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing," Mathematics, MDPI, vol. 9(5), pages 1-21, March.
  36. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Post-Print hal-02910724, HAL.
  37. Dupret, Jean-Loup & Barbarin, Jérôme & Hainaut, Donatien, 2021. "Impact of rough stochastic volatility models on long-term life insurance pricing," LIDAM Discussion Papers ISBA 2021017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  38. Blanka Horvath & Josef Teichmann & Žan Žurič, 2021. "Deep Hedging under Rough Volatility," Risks, MDPI, vol. 9(7), pages 1-20, July.
  39. Blanka Horvath & Antoine Jacquier & Peter Tankov, 2018. "Volatility options in rough volatility models," Papers 1802.01641, arXiv.org, revised Jan 2019.
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