Aitor Muguruza

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

Kaiju Capital Management

  • Imperial College London

  • Kaiju Capital Management

SCHOLARLY PAPERS

8

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11,453

TOTAL CITATIONS
Rank 25,715

SSRN RANKINGS

Top 25,715

in Total Papers Citations

69

Ideas:
“  rough Stochastic volatility models  ”

  • Imperial College London

  • Kaiju Capital Management

Scholarly Papers (8)

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1.

Deep Learning Volatility

Number of pages: 32 Posted: 07 Feb 2019 Last Revised: 20 Jul 2021
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Ecole Polytechnique
Downloads 6,093 (2,803)
Citation 39

Abstract:

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Rough volatility, volatility modelling, Volterra process, machine learning, accurate price approximation, calibration, model assessment, Monte Carlo

2.

Detecting Multivariate Market Regimes Via Clustering Algorithms

Number of pages: 39 Posted: 27 Mar 2024
James Mc Greevy, Aitor Muguruza, Zach Issa, Cristopher Salvi, Jonathan Chan and Zan Zuric
Kaiju Capital Management, Imperial College London, King’s College London - Faculty of Natural and Mathematical Sciences, The Alan Turing Institute, Kaiju Capital Management and Kaiju Capital Management
Downloads 2,260 (14,378)
Citation 1

Abstract:

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k-means clustering, p-Wasserstein, MMD, Mean-Variance optimisation, Stochastic processes, numerical methods, stochastic volatility models, regime classification, unsupervised learning

3.

Clustering Market Regimes Using the Wasserstein Distance

Number of pages: 37 Posted: 25 Oct 2021
Blanka Horvath, Zach Issa and Aitor Muguruza
Mathematical Institute, University of Oxford and Oxford Man Institute, King’s College London - Faculty of Natural and Mathematical Sciences and Imperial College London
Downloads 1,062 (45,164)

Abstract:

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Stochastic processes, numerical methods, stochastic volatility models, regime classification, unsupervised learning

4.

Portfolio Optimisation With Options

Number of pages: 25 Posted: 01 Feb 2022
Jonathan Chan, Thomas Huckle, Antoine (Jack) Jacquier and Aitor Muguruza
Kaiju Capital Management, Kaiju Capital Management, Imperial College London and Imperial College London
Downloads 663 (85,166)

Abstract:

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Options portfolio, modern portfolio theory, copulas, tail dependence

5.

Not so Particular about Calibration: Smile Problem Resolved

Number of pages: 18 Posted: 20 Oct 2019 Last Revised: 07 May 2020
Aitor Muguruza
Imperial College London
Downloads 542 (110,529)
Citation 3

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Local Stochastic Volatility, Hybrid Models, Monte Carlo methods, Rough volatility

6.

On VIX Futures in the Rough Bergomi Model

Number of pages: 21 Posted: 19 Jan 2017
Antoine (Jack) Jacquier, Claude Martini and Aitor Muguruza
Imperial College London, Zeliade Systems and Imperial College London
Downloads 495 (122,868)
Citation 9

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Implied volatility, fractional Brownian motion, rough Bergomi, VIX Futures, VIX smile

7.

Functional Central Limit Theorems for Rough Volatility

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 10 May 2019
Blanka Horvath, Antoine (Jack) Jacquier and Aitor Muguruza
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Imperial College London
Downloads 234 (278,263)
Citation 17

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functional limit theorems, Gaussian processes, invariance principles, fractional Brownian motion, rough volatility, binomial trees

8.

Asymptotics for Volatility Derivatives in Multi-Factor Rough Volatility Models

Number of pages: 28 Posted: 01 Apr 2019
Chloe Lacombe, Aitor Muguruza and Henry Stone
Imperial College London, Imperial College London and Department of Mathematics, Imperial College London
Downloads 104 (553,353)

Abstract:

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rough volatility,VIX, large deviations, realized variance, small-time asymptotics, Gaussian measure, reproducing kernel Hilbert space