Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

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Authors: Blanka Horvath, Aitor Muguruza, Mehdi Tomas

Journal title: Quantitative Finance

Journal number: 21/1

Journal publisher: Institute of Physics Publishing

Published year: 2021

Published pages: 11-27

DOI identifier: 10.1080/14697688.2020.1817974

ISSN: 1469-7688