On the universality of the volatility formation process: when machine learning and rough volatility agree (Q6549691)
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scientific article; zbMATH DE number 7859427
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the universality of the volatility formation process: when machine learning and rough volatility agree |
scientific article; zbMATH DE number 7859427 |
Statements
On the universality of the volatility formation process: when machine learning and rough volatility agree (English)
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4 June 2024
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volatility formation
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universality
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LSTM
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rough volatility
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quadratic rough Heston
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Zumbach effect
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