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Quantitative Finance · Glossary

What is Deep calibration?

Definition 19.4 Machine Learning for Markets · Chapter 19 — Deep Hedging and Machine Learning in Pricing

Deep calibration replaces the numerical optimisation of a model’s parameters against market quotes (Book 4, chapter 24) by a network trained on model-generated data: either the inverse map from quotes to parameters (Hernandez, 2016) or a fast forward map from parameters to quotes inside a standard optimiser (Horvath, Muguruza and Tomas, 2021).

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