Henry Stone

Department of Mathematics, Imperial College London

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

113

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

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 65 (429,604)

Abstract:

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

2.

Calibrating Rough Volatility Models: A Convolutional Neural Network Approach

Number of pages: 20 Posted: 12 Feb 2019
Henry Stone
Department of Mathematics, Imperial College London
Downloads 48 (494,095)
Citation 10

Abstract:

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Rough volatility; convolutional neural networks; calibration