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Paper / 2024SMQ / 73346383193205
Pricing and calibration in the 4-factor path-dependent volatility model
Guido Gazzani / Julien Guyon
deep learning / model calibrationResource overview

Pricing and calibration in the 4-factor path-dependent volatility model

Paper2024

by Guido Gazzani, Julien Guyon

Tags
deep learningmodel calibrationneural networksnumerical methodsoption pricingvolatility surface

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Understand this paper

Suggested foundations for optimisation and numerical methods and volatility models and surfaces. Specialist prerequisites vary by paper.

Before you read

  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

Go further

  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Linear Algebra, Optimisation and Numerical Methods Explore Advanced Derivatives and Exotic Options

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