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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.