# Tensoring Volatility Calibration

@article{ZeronMedinaLaris2020TensoringVC, title={Tensoring Volatility Calibration}, author={Mariano Zeron Medina Laris and Ignacio Ruiz}, journal={Derivatives eJournal}, year={2020} }

Inspired by a series of remarkable papers in recent years that use Deep Neural Nets to substantially speed up the calibration of pricing models, we investigate the use of Chebyshev Tensors instead of Deep Neural Nets. Given that Chebyshev Tensors can be, under certain circumstances, more efficient than Deep Neural Nets at exploring the input space of the function to be approximated, due to their exponential convergence, the problem of calibration of pricing models seems, a priori, a good case… Expand

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The computation of Greeks is a fundamental task for risk managing of financial instruments. The standard approach to their numerical evaluation is via finite differences. Most exotic derivatives are… Expand

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