{"id":"https://openalex.org/W4401684229","doi":"https://doi.org/10.1137/23m1606769","title":"Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models","display_name":"Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models","publication_year":2024,"publication_date":"2024-08-19","ids":{"openalex":"https://openalex.org/W4401684229","doi":"https://doi.org/10.1137/23m1606769"},"language":"en","primary_location":{"id":"doi:10.1137/23m1606769","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1606769","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044090390","display_name":"Francesca Biagini","orcid":"https://orcid.org/0000-0001-9801-5259"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Francesca Biagini","raw_affiliation_strings":["Workgroup Financial and Insurance Mathematics, Department of Mathematics, Ludwig-Maximilians Universit\u00e4t, 80333, Munich, Germany"],"affiliations":[{"raw_affiliation_string":"Workgroup Financial and Insurance Mathematics, Department of Mathematics, Ludwig-Maximilians Universit\u00e4t, 80333, Munich, Germany","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069340033","display_name":"Lukas Gonon","orcid":"https://orcid.org/0000-0003-3367-2455"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Lukas Gonon","raw_affiliation_strings":["Department of Mathematics, Imperial College London, London, SW7 1NE, UK"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College London, London, SW7 1NE, UK","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5092963941","display_name":"Niklas Walter","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Niklas Walter","raw_affiliation_strings":["Workgroup Financial and Insurance Mathematics, Department of Mathematics, Ludwig-Maximilians Universit\u00e4t, 80333, Munich, Germany"],"affiliations":[{"raw_affiliation_string":"Workgroup Financial and Insurance Mathematics, Department of Mathematics, Ludwig-Maximilians Universit\u00e4t, 80333, Munich, Germany","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5044090390"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.1249,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.79025424,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":95,"max":96},"biblio":{"volume":"15","issue":"3","first_page":"734","last_page":"784"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9696999788284302,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5678975582122803},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5529258847236633},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5085235834121704},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4988284111022949},{"id":"https://openalex.org/keywords/calibration","display_name":"Calibration","score":0.4803246557712555},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.4515116810798645},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4036281704902649},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3830322027206421},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3265538811683655},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.22200411558151245},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.12444964051246643}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5678975582122803},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5529258847236633},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5085235834121704},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4988284111022949},{"id":"https://openalex.org/C165838908","wikidata":"https://www.wikidata.org/wiki/Q736777","display_name":"Calibration","level":2,"score":0.4803246557712555},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.4515116810798645},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4036281704902649},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3830322027206421},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3265538811683655},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.22200411558151245},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.12444964051246643}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/23m1606769","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1606769","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W98016743","https://openalex.org/W1890880943","https://openalex.org/W1995522593","https://openalex.org/W1998031535","https://openalex.org/W1999996900","https://openalex.org/W2006240266","https://openalex.org/W2064978316","https://openalex.org/W2065096983","https://openalex.org/W2077791698","https://openalex.org/W2094206697","https://openalex.org/W2103496339","https://openalex.org/W2137983211","https://openalex.org/W2166116275","https://openalex.org/W2314044765","https://openalex.org/W2477011206","https://openalex.org/W2513671774","https://openalex.org/W2528305538","https://openalex.org/W2625974289","https://openalex.org/W2890291741","https://openalex.org/W2899058947","https://openalex.org/W2902318560","https://openalex.org/W2907427721","https://openalex.org/W2962761333","https://openalex.org/W2963146412","https://openalex.org/W2963562494","https://openalex.org/W2969750612","https://openalex.org/W2971672318","https://openalex.org/W2998107928","https://openalex.org/W3022439851","https://openalex.org/W3031715235","https://openalex.org/W3095372661","https://openalex.org/W3098509316","https://openalex.org/W3099640559","https://openalex.org/W3115761617","https://openalex.org/W3124875579","https://openalex.org/W3125017247","https://openalex.org/W3125537303","https://openalex.org/W3125660228","https://openalex.org/W3126019785","https://openalex.org/W3133816032","https://openalex.org/W3163741067","https://openalex.org/W3167031531","https://openalex.org/W3172608759","https://openalex.org/W3196609896","https://openalex.org/W4238187298","https://openalex.org/W4283011320","https://openalex.org/W4388063301"],"related_works":["https://openalex.org/W3123210238","https://openalex.org/W3093796783","https://openalex.org/W3123155432","https://openalex.org/W3123418236","https://openalex.org/W2886095353","https://openalex.org/W1601881750","https://openalex.org/W3124791345","https://openalex.org/W4210940217","https://openalex.org/W2013221838","https://openalex.org/W2755264433"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2}],"updated_date":"2025-12-23T23:11:35.936235","created_date":"2025-10-10T00:00:00"}
