Aitor Muguruza

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

Kaiju Capital Management

SCHOLARLY PAPERS

7

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4,271

SSRN CITATIONS
Rank 22,536

SSRN RANKINGS

Top 22,536

in Total Papers Citations

27

CROSSREF CITATIONS

17

Ideas:
“  rough Stochastic volatility models  ”

Scholarly Papers (7)

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 3,611 (3,785)
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 243 (161,542)
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 166 (228,411)
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 127 (282,992)
Citation 14

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 65 (430,280)

Abstract:

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

6.

Clustering Market Regimes Using the Wasserstein Distance

Number of pages: 37 Posted: 25 Oct 2021
Blanka Horvath, Zach Issa and Aitor Muguruza
ETH Zürich - Department of Mathematics, King's College London - Faculty of Natural and Mathematical Sciences and Imperial College London
Downloads 59 (458,999)

Abstract:

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Stochastic processes, numerical methods, stochastic volatility models, regime classification, unsupervised learning

7.

Portfolio optimisation with options

Number of pages: 25
Kaiju Capital Management, Kaiju Capital Management, Imperial College London and Imperial College London
Downloads 0

Abstract:

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Options portfolio, modern portfolio theory, copulas, tail dependence