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Turbocharging Monte Carlo pricing for the rough Bergomi model. (2018). Pakkanen, Mikko S ; McCrickerd, Ryan.
In: Quantitative Finance.
RePEc:taf:quantf:v:18:y:2018:i:11:p:1877-1886.

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  1. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2023). Illand, Camille ; Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan.
    In: Post-Print.
    RePEc:hal:journl:hal-03909334.

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  2. CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834.

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  3. Path-dependent PDEs for volatility derivatives. (2023). Pannier, Alexandre.
    In: Papers.
    RePEc:arx:papers:2311.08289.

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  4. Deep calibration with random grids. (2023). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio.
    In: Papers.
    RePEc:arx:papers:2306.11061.

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  5. Random neural networks for rough volatility. (2023). Zuric, Zan ; Jacquier, Antoine.
    In: Papers.
    RePEc:arx:papers:2305.01035.

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  6. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03909334.

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  7. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03902513.

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  8. Multiscaling and rough volatility: An empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002757.

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  9. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2212.10917.

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  10. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2212.08297.

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  11. Bartletts Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model. (2022). Keller-Ressel, Martin.
    In: Papers.
    RePEc:arx:papers:2207.13573.

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  12. Local volatility under rough volatility. (2022). Pigato, Paolo ; Friz, Peter K ; de Marco, Stefano ; Bourgey, Florian.
    In: Papers.
    RePEc:arx:papers:2204.02376.

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  13. Weak approximations and VIX option price expansions in forward variance curve models. (2022). Bourgey, Florian ; Gobet, Emmanuel ; de Marco, Stefano.
    In: Papers.
    RePEc:arx:papers:2202.10413.

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  14. Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe.
    In: Papers.
    RePEc:arx:papers:2201.10466.

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  15. Least squares Monte Carlo methods in stochastic Volterra rough volatility models. (2021). Guerra, Joo ; Guerreiro, Henrique.
    In: Working Papers REM.
    RePEc:ise:remwps:wp01762021.

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  16. Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen.
    In: Post-Print.
    RePEc:hal:journl:hal-02910724.

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  17. Deep Hedging under Rough Volatility. (2021). Nuri, A ; Teichmann, Josef ; Horvath, Blanka.
    In: Risks.
    RePEc:gam:jrisks:v:9:y:2021:i:7:p:138-:d:597662.

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  18. Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang.
    In: Papers.
    RePEc:arx:papers:2110.08320.

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  19. On simulation of rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan.
    In: Papers.
    RePEc:arx:papers:2108.01999.

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  20. Least squares Monte Carlo methods in stochastic Volterra rough volatility models. (2021). Guerreiro, Henrique ; Guerra, Joao .
    In: Papers.
    RePEc:arx:papers:2105.04511.

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  21. Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka.
    In: Papers.
    RePEc:arx:papers:2102.01962.

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  22. Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2021017.

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  26. Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2020). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02910724.

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  27. Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K.
    In: Papers.
    RePEc:arx:papers:2009.08814.

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  28. Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2020). Loeper, Gr'Egoire ; Zhu, Qinwen ; Langren, Nicolas ; Chen, Wen.
    In: Papers.
    RePEc:arx:papers:2007.02113.

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  29. On deep calibration of (rough) stochastic volatility models. (2019). Tomas, Mehdi ; Stemper, Benjamin ; Muguruza, Aitor ; Horvath, Blanka ; Bayer, Christian.
    In: Papers.
    RePEc:arx:papers:1908.08806.

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  30. Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul.
    In: Papers.
    RePEc:arx:papers:1906.07101.

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  31. Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model. (2019). Tempone, Raul ; ben Hammouda, Chiheb ; Bayer, Christian.
    In: Papers.
    RePEc:arx:papers:1812.08533.

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  32. Deep calibration of rough stochastic volatility models. (2018). Stemper, Benjamin ; Bayer, Christian.
    In: Papers.
    RePEc:arx:papers:1810.03399.

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