PelatihDeep 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).
Quantitative Finance · Glosarium