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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Deep learning volatility : a deep neural network perspective on pricing and calibration in (rough) volatility models
Horvath, Blanka Nora; Muguruza, Aitor; Tomas, Mehdi - In: Quantitative finance 21 (2021) 1, pp. 11-27
Persistent link: https://www.econbiz.de/10012424629