Deep calibration of the quadratic rough Heston model

Rough vol models are calibrated and fitted to SPX and Vix smiles

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The quadratic rough Heston model provides a natural way to encode the Zumbach effect in the rough volatility paradigm. Mathieu Rosenbaum and Jianfei Zhang apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model. The model is able to reproduce both SPX and VIX implied volatilities very well, to obtain VIX option prices within the bid-ask spread, and achieves an excellent fit of the SPX at-the-money

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