On the universality of the volatility formation process: when machine learning and rough volatility agree
type: Item
instance of: scholarly article
title: On the universality of the volatility formation process: when machine learning and rough volatility agree
zbMATH Open document ID: 1537.91304
author: Mathieu Rosenbaum
author: Jianfei Zhang
published in: Frontiers of Mathematical Finance
publication date: 2024-06-04T00:00:00Z
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 68T07
zbMATH DE Number: 7859427
zbMATH Keywords: volatility formation
zbMATH Keywords: universality
zbMATH Keywords: LSTM
zbMATH Keywords: rough volatility
zbMATH Keywords: quadratic rough Heston
zbMATH Keywords: Zumbach effect
MaRDI profile type: Publication
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DOI: 10.3934/FMF.2024002
description: scientific article; zbMATH DE number 7859427