Neural Rough Volatility: Advanced Options Arbitrage and Surface Modeling with Transformers - Softcover

Preston, James; Kanegi, Takehiro

Softcover

ISBN 13: 9798184746197

Publisher: Independently published, 2026

Synopsis

Reactive Publishing

In today's high-frequency, data-rich markets, traditional volatility models fall short. Enter the powerful fusion of rough volatility frameworks and modern deep learning, specifically Transformers, that is redefining how quantitative traders, researchers, and risk managers capture market dynamics.

This cutting-edge guide bridges stochastic processes, fractional Brownian motion, and state-of-the-art neural architectures to deliver practical, high-performance solutions for:

• Rough volatility modeling (including the Rough Bergomi model and its extensions)
• Neural calibration of volatility surfaces with unprecedented speed and accuracy
• Transformer-based forecasting of implied volatility dynamics and term-structure behavior
• Advanced options arbitrage strategies that exploit mispricings across strikes, maturities, and underlyings
• Real-time surface modeling and hedging in equity, FX, and commodity markets

You'll discover how to implement end-to-end pipelines in Python, from simulating rough paths and training attention-based models to deploying arbitrage engines that adapt to regime shifts. Complete with mathematical foundations, code repositories, performance benchmarks, and production-ready techniques, this book equips you to move beyond Black-Scholes limitations and extract genuine alpha from volatility surfaces.

Perfect for:

• Quantitative researchers and PhD-level practitioners
• Options traders and volatility arbitrage desks
• Machine learning engineers working in finance
• Risk managers and portfolio strategists seeking next-generation tools

Whether you're refining Heston-style models, exploring fractional volatility, or building Transformer-driven trading systems, Neural Rough Volatility provides the rigorous theory and battle-tested code you need to stay ahead in an increasingly competitive market.

Edition details

• Publisher: Independently published
• Publication date: 2026
• Language: English
• ISBN 13: 9798184746197
• Binding: Paperback
• Number of pages: 414
• Editor: Schwartz Alice