Edit Profile (opens in new tab) Muguruza, Aitor Co-Author Distance Author ID: muguruza.aitor Published as: Muguruza, Aitor Documents Indexed: 5 Publications since 2017, including 1 Additional arXiv Preprint Co-Authors: 7 Co-Authors with 5 Joint Publications 84 Co-Co-Authors all top 5 Co-Authors 0 single-authored 3 Jacquier, Antoine 2 Horvath, Blanka 2 Martini, Claude 1 Lacombe, Chloé 1 Søjmark, Andreas 1 Stone, Henry 1 Tomas, Mehdi Serials 3 Quantitative Finance 1 Mathematics and Financial Economics Fields 5 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Probability theory and stochastic processes (60-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 4 Publications have been cited 48 times in 45 Documents Cited by ▼ Year ▼ On VIX futures in the rough Bergomi model. Zbl 1400.91596 Jacquier, Antoine; Martini, Claude; Muguruza, Aitor 19 2017 Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. Zbl 1479.91400 Horvath, Blanka; Muguruza, Aitor; Tomas, Mehdi 18 2021 On VIX futures in the rough Bergomi model. Zbl 1469.91055 Jacquier, Antoine; Martini, Claude; Muguruza, Aitor 8 2018 Asymptotics for volatility derivatives in multi-factor rough volatility models. Zbl 1471.91573 Lacombe, Chloe; Muguruza, Aitor; Stone, Henry 3 2021 Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. Zbl 1479.91400 Horvath, Blanka; Muguruza, Aitor; Tomas, Mehdi 18 2021 Asymptotics for volatility derivatives in multi-factor rough volatility models. Zbl 1471.91573 Lacombe, Chloe; Muguruza, Aitor; Stone, Henry 3 2021 On VIX futures in the rough Bergomi model. Zbl 1469.91055 Jacquier, Antoine; Martini, Claude; Muguruza, Aitor 8 2018 On VIX futures in the rough Bergomi model. Zbl 1400.91596 Jacquier, Antoine; Martini, Claude; Muguruza, Aitor 19 2017 all cited Publications top 5 cited Publications all top 5 Cited by 83 Authors 7 Jacquier, Antoine 3 Guyon, Julien 3 Horvath, Blanka 2 Garnier, Josselin 2 Jaimungal, Sebastian 2 Lacombe, Chloé 2 Muguruza, Aitor 2 Pakkanen, Mikko S. 2 Sølna, Knut 2 Stone, Henry 2 Tomas, Mehdi 1 Alòs, Elisa 1 Arai, Takuji 1 Bayer, Christian 1 Ben Hammouda, Chiheb 1 Bennedsen, Mikkel 1 Bergeron, Maxime 1 Bourgey, Florian 1 Büchel, Patrick 1 Coache, Anthony 1 Cuchiero, Christa 1 Danilova, Natalia 1 Dastgerdi, Maryam Vahid 1 De Marco, Stefano 1 Dong, Jianping 1 Foroush Bastani, Ali 1 Fu, Weilong 1 Fukasawa, Masaaki 1 Funahashi, Hideharu 1 García Lorite, David 1 García-Rodríguez, José Antonio 1 Gnoatto, Alessandro 1 Gobet, Emmanuel 1 Gonon, Lukas 1 Gonzalez, Aitor Muguruza 1 Grasselli, Martino 1 Gulisashvili, Archil 1 Guo, Ivan 1 Han, Xiaohui 1 Hirano, Asuto 1 Hirsa, Ali 1 Hult, Henrik 1 Hultin, Hanna 1 Jaisson, Thibault 1 Kratochwil, Michael 1 Kudryavtsev, Oleg 1 Leitao, Álvaro 1 Li, Lingfei 1 Loeper, Grégoire 1 Matas, Jan 1 McCrickerd, Ryan 1 Mehrdoust, Farshid 1 Nagl, Maximilian 1 Neumann, Dirk 1 Ning, Brian 1 Noorani, Idin 1 Obloj, Jan K. 1 Oumgari, Mugad 1 Pannier, Alexandre 1 Papanicolaou, Andrew 1 Platen, Eckhard 1 Pospíšil, Jan 1 Proutière, Alexandre 1 Ratku, Antal 1 Rømer, Sigurd Emil 1 Roome, Patrick 1 Rösch, Daniel 1 Rosenbaum, Mathieu 1 Sabate Vidales, Marc 1 Samama, Samuel 1 Schwab, Christoph 1 Shi, Fangwei 1 Šiška, David 1 Svaluto-Ferro, Sara 1 Szpruch, Lukasz 1 Tankov, Peter 1 Tarighati, Ala 1 Tempone, Raúl F. 1 Villarino, Joel P. 1 Wang, Shiyi 1 Zhang, Gongqiu 1 Zhang, Wenyong 1 Zhang, Xiaorong all top 5 Cited in 19 Serials 12 Quantitative Finance 8 SIAM Journal on Financial Mathematics 3 Journal of Applied Probability 2 Stochastic Processes and their Applications 2 Finance and Stochastics 2 Mathematical Finance 2 Decisions in Economics and Finance 2 Mathematics and Financial Economics 2 Annals of Finance 1 Advances in Applied Probability 1 Applied Mathematics and Computation 1 Journal of Computational and Applied Mathematics 1 Econometric Reviews 1 Journal of Mathematical Sciences (New York) 1 Applied Mathematical Finance 1 International Journal of Theoretical and Applied Finance 1 OR Spectrum 1 Review of Derivatives Research 1 Analysis and Applications (Singapore) all top 5 Cited in 11 Fields 42 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 24 Probability theory and stochastic processes (60-XX) 16 Computer science (68-XX) 7 Numerical analysis (65-XX) 2 Partial differential equations (35-XX) 2 Integral equations (45-XX) 2 Statistics (62-XX) 2 Systems theory; control (93-XX) 1 Ordinary differential equations (34-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year