Deep Curve-Dependent PDEs for Affine Rough Volatility
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Publication:6159075
DOI10.1137/19m1267805zbMath1516.91062arXiv1906.02551OpenAlexW3109759108MaRDI QIDQ6159075
Antoine Jacquier, Mugad Oumgari
Publication date: 1 June 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.02551
Artificial neural networks and deep learning (68T07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)
Related Items (3)
Cubature Method for Stochastic Volterra Integral Equations ⋮ A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations ⋮ Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
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