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We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past returns and the square root of a weighted sum of past squared returns.
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Hyperband: A novel bandit-based approach to hyperparameter optimization
L. Li, K. Jamieson, G. De Salvo, A. Rostamizadeh, and A. Talwalkar · 2017
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C. Bayer and B. Stemper · 2018
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Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
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Smiling twice: the Heston++ model
C. Pacati, G. Pompa, and R. Renò · 2018
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M. Rosenbaum and J. Zhang · 2022
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How many inner simulations to compute conditional expectations with least-square Monte Carlo?
A. Alfonsi, B. Lapeyre, and J. Lelong · 2023
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Implied volatility (also) is path-dependent
H. Andrès, A. Boumezoued, and B. Jourdain · 2023
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Signature-based models: Theory and calibration
C. Cuchiero, G. Gazzani, and S. Svaluto-Ferro · 2023
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From constant to rough: A survey of continuous volatility modeling
G. Di Nunno, K. Kubilius, Y. Mishura, and A. Yurchenko-Tytarenko · 2023
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Volatility is (mostly) path-dependent
J. Guyon and J. Lekeufack · 2023
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J. Gatheral, P. Jusselin, and M. Rosenbaum · 2020
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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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Neural joint S&P 500/VIX smile calibration
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