Aitor Muguruza

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

Kaiju Capital Management

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 16,064

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Top 16,064

in Total Papers Downloads

3,820

SSRN CITATIONS
Rank 22,657

SSRN RANKINGS

Top 22,657

in Total Papers Citations

28

CROSSREF CITATIONS

16

Ideas:
“  rough Stochastic volatility models  ”

Scholarly Papers (5)

1.

Deep Learning Volatility

Number of pages: 32 Posted: 07 Feb 2019 Last Revised: 20 Jul 2021
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
ETH Zürich - Department of Mathematics, Imperial College London and Ecole Polytechnique
Downloads 3,289 (4,192)
Citation 30

Abstract:

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

2.

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 194 (191,899)
Citation 1

Abstract:

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

3.

On VIX Futures in the Rough Bergomi Model

Number of pages: 21 Posted: 19 Jan 2017
Imperial College London, Zeliade Systems and Imperial College London
Downloads 161 (225,492)
Citation 9

Abstract:

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

4.

Functional Central Limit Theorems for Rough Volatility

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 10 May 2019
ETH Zürich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 112 (298,275)
Citation 13

Abstract:

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

5.

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 64 (417,946)

Abstract:

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