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SOTA Rough Volatility modeling benchmarks and papers with code | Wizwand
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Rough Volatility modeling
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Dataset Name
SOTA Method
Dataset Name
SOTA Method
Metric
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Rough Volatility terminal-marginal results
MNO
Mean RMSE
0.0223
15
16d ago
Rough Vol H = 0.1
MNO
W2
0.0257
2
16d ago
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