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The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm.
Smoking Adjoints: fast Monte Carlo Greeks
M. Giles and P. Glasserman · 2006
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Volatility conditional on price trends
G. Zumbach · 2010
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Multiscale stochastic volatility for equity, interest rate, and credit derivatives
J.-P. Fouque, G. Papanicolaou, R. Sircar, and K. Sølna · 2011
Earlier work this paper cites.
Arbitrage-free SVI volatility surfaces
J. Gatheral and A. Jacquier · 2014
Earlier work this paper cites.
Pricing under rough volatility
C. Bayer, P. Friz, and J. Gatheral · 2016
Earlier work this paper cites.
Deep learning
I. Goodfellow, Y. Bengio, and A. Courville · 2016
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Gaussian error linear units (gelus)
D. Hendrycks and K. Gimpel · 2016
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Model calibration with neural networks
A. Hernandez · 2016
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Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
T. Jaisson and M. Rosenbaum · 2016
Cited alongside, same era.
The microstructural foundations of leverage effect and rough volatility
O. El Euch, M. Fukasawa, and M. Rosenbaum · 2018
Cited alongside, same era.
Perfect hedging in rough Heston models
O. El Euch and M. Rosenbaum · 2018
Cited alongside, same era.
Volatility is rough
J. Gatheral, T. Jaisson, and M. Rosenbaum · 2018
Cited alongside, same era.
Rough volatility: evidence from option prices
G. Livieri, S. Mouti, A. Pallavicini, and M. Rosenbaum · 2018
Cited alongside, same era.
Lifting the Heston model
E. Abi Jaber · 2019
Cited alongside, same era.
Roughening Heston
O. El Euch, J. Gatheral, and M. Rosenbaum · 2019
Later among the works it cites.
The characteristic function of rough Heston models
O. El Euch and M. Rosenbaum · 2019
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The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
J. Gatheral, P. Jusselin, and M. Rosenbaum · 2020
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The joint S&P 500/VIX smile calibration puzzle solved
J. Guyon · 2020
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Differential Machine Learning
B. N. Huge and A. Savine · 2020
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Decoupling the short-and long-term behavior of stochastic volatility
M. Bennedsen, A. Lunde, and M. Pakkanen · 2021
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E. Abi Jaber and O. El Euch · 2019
Cited alongside, same era.
On deep calibration of (rough) stochastic volatility models
C. Bayer, B. Horvath, A. Muguruza, B. Stemper, and M. Tomas · 2019
Cited alongside, same era.
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
A. Dandapani, P. Jusselin, and M. Rosenbaum · 2021
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Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
B. Horvath, A. Muguruza, and M. Tomas · 2021
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