Shapley-based Structural Analysis of Neural Calibration for Stochastic Volatility Models

arXiv:2610.03076 · q-fin.CP, cs.LG, math.PR, stat.ML · Submitted 2026-10-02 · Read on arXiv

q-fin.CP, cs.LG, math.PR, stat.ML

Submitted: 2026-10-02

Updated: 2026-10-02

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Calibration — 1× in this paper · explained in 7 episodes

Sources

• True to the Model or True to the Data?
• Delving Deep into Rectifiers: Surpassing Human-Level Performance on ImageNet Classification
• The Explanation Game -- Rekindled (Extended Version)
• Volatility model calibration with neural networks a comparison between direct and indirect methods
• Applying Deep Learning to Calibrate Stochastic Volatility Models
• Highway Networks
• Deep learning interpretability for rough volatility

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