amuguruza / nn-stochvol-calibrations Goto Github PK
View Code? Open in Web Editor NEWWe implement the paper: Deep Learning Volatility
License: MIT License
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add topics
I suggest adding topics such as finance, stochastic-volatility, volatility, options in the About section at https://github.com/amuguruza/NN-StochVol-Calibrations
rough Bergomi notebooks seem to have scaling/normalizations backwards
In the paper, Deep volatility, my understanding is that the parameters are done with max-min scaling with thresholds, then the vol surfaces are normalized. Is this right? In the notebook, it seems that both xx,yy are first normalized, then xx is normalized again. Then the unnormalized yy data is scaled for max-mins i believe that are supposed to be for the parameters. I love the idea am trying to build my own model off it. Since I'll obviously need to apply the same scaling to my own data it's important I make sure I'm doing it correctly. Thanks!
SPX calibration code missing
It would be very useful for the community to see how you calibrated the model to SPX. Did you need to interpolate the strikes and times to fit the model grid, etc. If so, how it was done.
Please consider posting as it is an impressive contribution in and of itself.
Thanks!
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