Saved in:
| Main Authors: | Teng, Changqing, Li, Guanglian |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2512.00448 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Neural option pricing for rough Bergomi model
by: Teng, Changqing, et al.
Published: (2024)
by: Teng, Changqing, et al.
Published: (2024)
Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
by: Teng, Changqing, et al.
Published: (2024)
by: Teng, Changqing, et al.
Published: (2024)
Multiscaling in the Rough Bergomi Model: A Tale of Tails
by: Brandi, Giuseppe, et al.
Published: (2026)
by: Brandi, Giuseppe, et al.
Published: (2026)
A deep primal-dual BSDE method for optimal stopping problems
by: Yang, Jiefei, et al.
Published: (2024)
by: Yang, Jiefei, et al.
Published: (2024)
An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
by: Wu, Keyuan, et al.
Published: (2025)
by: Wu, Keyuan, et al.
Published: (2025)
Wasserstein Distributionally Robust Rare-Event Simulation
by: Ahn, Dohyun, et al.
Published: (2026)
by: Ahn, Dohyun, et al.
Published: (2026)
Volatility models in practice: Rough, Path-dependent or Markovian?
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
Randomized Kolmogorov-Smirnov Analysis of Volatility Roughness
by: Bianchi, Sergio, et al.
Published: (2025)
by: Bianchi, Sergio, et al.
Published: (2025)
Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
by: Yang, Jiefei, et al.
Published: (2024)
by: Yang, Jiefei, et al.
Published: (2024)
Efficient Parameter Calibration of Numerical Weather Prediction Models via Evolutionary Sequential Transfer Optimization
by: Fang, Heping, et al.
Published: (2026)
by: Fang, Heping, et al.
Published: (2026)
Efficient convex PCA with applications to Wasserstein GPCA and ranked data
by: Campbell, Steven, et al.
Published: (2022)
by: Campbell, Steven, et al.
Published: (2022)
A Wasserstein Graph Distance Based on Distributions of Probabilistic Node Embeddings
by: Scholkemper, Michael, et al.
Published: (2024)
by: Scholkemper, Michael, et al.
Published: (2024)
The Elusive Nature of Roughness: Linking Hydraulics and Graph Theory for Water Distribution Networks Model Calibration
by: Dykiert, Karol, et al.
Published: (2026)
by: Dykiert, Karol, et al.
Published: (2026)
Wasserstein Markets for Differentially-Private Data
by: Chhachhi, Saurab, et al.
Published: (2024)
by: Chhachhi, Saurab, et al.
Published: (2024)
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
by: Bourgey, Florian, et al.
Published: (2021)
by: Bourgey, Florian, et al.
Published: (2021)
Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
by: Zaugg, Nicola F., et al.
Published: (2024)
by: Zaugg, Nicola F., et al.
Published: (2024)
Volatility Calibration via Automatic Local Regression
by: Yang, Ruozhong, et al.
Published: (2025)
by: Yang, Ruozhong, et al.
Published: (2025)
Towards Calibrating Financial Market Simulators with High-frequency Data
by: Yang, Peng, et al.
Published: (2025)
by: Yang, Peng, et al.
Published: (2025)
Uncertainty Quantification in Calibration and Simulation of Thermo-Chemical Curing of Epoxy Resins
by: Tröger, Jendrik-Alexander, et al.
Published: (2026)
by: Tröger, Jendrik-Alexander, et al.
Published: (2026)
Handbook of Rough Set Extensions and Uncertainty Models
by: Fujita, Takaaki, et al.
Published: (2026)
by: Fujita, Takaaki, et al.
Published: (2026)
Rough Bergomi turns grey
by: Jacquier, Antoine, et al.
Published: (2025)
by: Jacquier, Antoine, et al.
Published: (2025)
Automated regime classification in multidimensional time series data using sliced Wasserstein k-means clustering
by: Luan, Qinmeng, et al.
Published: (2023)
by: Luan, Qinmeng, et al.
Published: (2023)
Alleviating Non-identifiability: a High-fidelity Calibration Objective for Financial Market Simulation with Multivariate Time Series Data
by: Wang, Chenkai, et al.
Published: (2024)
by: Wang, Chenkai, et al.
Published: (2024)
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?
by: Eduardo Abi Jaber, et al.
Published: (2025)
by: Eduardo Abi Jaber, et al.
Published: (2025)
Continuous Risk Factor Models: Analyzing Asset Correlations through Energy Distance
by: Gawronsky, Marcus, et al.
Published: (2024)
by: Gawronsky, Marcus, et al.
Published: (2024)
Rough SABR Forward Market Model
by: Adachi, Reo, et al.
Published: (2025)
by: Adachi, Reo, et al.
Published: (2025)
In-context modeling as a retrain-free paradigm for foundation models in computational science
by: Li, Lingfeng, et al.
Published: (2026)
by: Li, Lingfeng, et al.
Published: (2026)
Lattice-Boltzmann-Driven Physics-Informed Neural Networks for Droplet Wettability on Rough Surfaces
by: Meshram, Ganesh Sahadeo, et al.
Published: (2026)
by: Meshram, Ganesh Sahadeo, et al.
Published: (2026)
KANOP: A Data-Efficient Option Pricing Model using Kolmogorov-Arnold Networks
by: Handal, Rushikesh, et al.
Published: (2024)
by: Handal, Rushikesh, et al.
Published: (2024)
Large and Deep Factor Models
by: Kelly, Bryan, et al.
Published: (2024)
by: Kelly, Bryan, et al.
Published: (2024)
No-Arbitrage Deep Calibration for Volatility Smile and Skewness
by: Hoshisashi, Kentaro, et al.
Published: (2023)
by: Hoshisashi, Kentaro, et al.
Published: (2023)
Calibrating the Heston model with deep differential networks
by: Amici, Giovanni, et al.
Published: (2024)
by: Amici, Giovanni, et al.
Published: (2024)
Rough PDEs for Local Stochastic Volatility Models
by: Peter Bank, et al.
Published: (2025)
by: Peter Bank, et al.
Published: (2025)
Scalable Agent-Based Modeling for Complex Financial Market Simulations
by: Wheeler, Aaron, et al.
Published: (2023)
by: Wheeler, Aaron, et al.
Published: (2023)
Data-Driven Surrogate Modeling Techniques to Predict the Effective Contact Area of Rough Surface Contact Problems
by: Sahin, Tarik, et al.
Published: (2025)
by: Sahin, Tarik, et al.
Published: (2025)
Amalgamation of Physics-Informed Neural Network and LBM for the Prediction of Unsteady Fluid Flows in Fractal-Rough Microchannels
by: Meshram, Ganesh Sahadeo, et al.
Published: (2026)
by: Meshram, Ganesh Sahadeo, et al.
Published: (2026)
Thermal Model Calibration of a Squirrel-Cage Induction Machine
by: Blumrich, Leon, et al.
Published: (2025)
by: Blumrich, Leon, et al.
Published: (2025)
Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)
by: Jaber, Eduardo Abi
Published: (2024)
Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects
by: Hirsch, Simon, et al.
Published: (2023)
by: Hirsch, Simon, et al.
Published: (2023)
NASPrecision: Neural Architecture Search-Driven Multi-Stage Learning for Surface Roughness Prediction in Ultra-Precision Machining
by: Ruan, Penghui, et al.
Published: (2024)
by: Ruan, Penghui, et al.
Published: (2024)
Similar Items
-
Neural option pricing for rough Bergomi model
by: Teng, Changqing, et al.
Published: (2024) -
Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
by: Teng, Changqing, et al.
Published: (2024) -
Multiscaling in the Rough Bergomi Model: A Tale of Tails
by: Brandi, Giuseppe, et al.
Published: (2026) -
A deep primal-dual BSDE method for optimal stopping problems
by: Yang, Jiefei, et al.
Published: (2024) -
An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
by: Wu, Keyuan, et al.
Published: (2025)