SSRNML & AI Methods
Historical calibration of SVJD models with deep learning
The paper suggests using deep neural networks to calibrate parameters of Stochastic Volatility Jump Diffusion models, proving to be more accurate, robust, and faster than other methods.
Featured in No. 28 on 6 Dec 2023 · 5 days after release · 1 citation today
- Released
- 1 Dec 2023
- First featured
- No. 28 · 6 Dec 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4650097
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).