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Tuesday, 20.03.2018, 15:00 (WIAS-406)
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
B. Stemper, WIAS und TU Berlin:
Advances in calibrating rough stochastic volatility models via neural networks
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the “rough" regime of Hurst parameter H < 1/2. This regime recently attracted a lot of attention both from the statistical and option pricing point of view for its ability to better fit market data than conventional stochastic volatility models like Heston. A drawback of the new regime is that efficient pricing schemes are yet unknown, making calibration - where repetitive evaluation of the pricing functional is required - prohibitively expensive. In our last talk, we envisioned a calibration scheme using deep learning where the expensive pricing functional is learned by an artificial neural network. In this talk, we report on our progress and share some challenges encountered on the way. Work in progress, joint with Christian Bayer.

WIAS Berlin