A1371
Title: Calibrating rough volatility models: A convolutional neural network approach
Authors: Henry Stone - Imperial College London (United Kingdom) [presenting]
Abstract: Convolutional neural networks are used to solve the classification problem of finding the H\"older exponent of two Gaussian processes: the well-known fractional Brownian motion and the rBergomi model, a recently proposed stock price model used in mathematical finance. We contextualise the latter as a calibration problem, thereby providing a very practical and useful application.
