Fičura, Milan; Witzany, Jiří - 2023
We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump …-Diffusion (SVJD) models to historical asset return time series. 1-Dimensional Convolutional Neural Networks (1D-CNN) are used for that … purpose. The accuracy of the deep learning approach is compared with machine learning methods based on shallow neural networks …