Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075)

scientific article; zbMATH DE number 7691062

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English	Deep Curve-Dependent PDEs for Affine Rough Volatility	scientific article; zbMATH DE number 7691062

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instance of

scholarly article

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title

Deep Curve-Dependent PDEs for Affine Rough Volatility (English)

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SIAM Journal on Financial Mathematics

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publication date

1 June 2023

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full work available at URL

https://arxiv.org/abs/1906.02551

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zbMATH Keywords

rough volatility

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deep learning

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path-dependent PDEs

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MaRDI profile type

MaRDI publication profile

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cites work

Lifting the Heston model

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Affine Volterra processes

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Q3355178

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Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

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A regularity structure for rough volatility

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Pricing under rough volatility

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Short-time near-the-money skew in rough fractional volatility models

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Pricing Options under Rough Volatility with Backward SPDEs

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Hybrid scheme for Brownian semistationary processes

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Q3884916

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Q3899268

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The Pricing of Options and Corporate Liabilities

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Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)

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Long memory continuous time models

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MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH

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Stochastic Equations in Infinite Dimensions

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Stochastic analysis of the fractional Brownian motion

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Functional Itô calculus

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Solving high-dimensional partial differential equations using deep learning

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On viscosity solutions of path dependent PDEs

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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Backward Stochastic Differential Equations in Finance

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The characteristic function of rough Heston models

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Perfect hedging in rough Heston models

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The microstructural foundations of leverage effect and rough volatility

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Q5606327

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Asymptotics for Rough Stochastic Volatility Models

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Asymptotic analysis for stochastic volatility: martingale expansion

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On the martingale property in the rough Bergomi model

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Volatility is rough

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Affine forward variance models

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RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION

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Asymptotic Behavior of the Fractional Heston Model

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The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

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Mimicking the one-dimensional marginal distributions of processes having an Ito differential

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Strong convergence rates for Markovian representations of fractional processes

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Hybrid simulation scheme for volatility modulated moving average fields

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Asymptotic behaviour of randomised fractional volatility models

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Volatility Options in Rough Volatility Models

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Deep backward schemes for high-dimensional nonlinear PDEs

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On VIX futures in the rough Bergomi model

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Pathwise large deviations for the rough Bergomi model

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Existence of a calibrated regime switching local volatility model

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Q4039796

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Inverting the Markovian projection, with an application to local stochastic volatility models

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Neural algorithm for solving differential equations

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Turbocharging Monte Carlo pricing for the rough Bergomi model

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Machine learning for semi linear PDEs

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Donsker-type theorems for correlated geometric fractional Brownian motions and related processes

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Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

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DGM: a deep learning algorithm for solving partial differential equations

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A martingale approach for fractional Brownian motions and related path dependent PDEs

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Identifiers

zbMATH Open document ID

1516.91062

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arXiv ID

1906.02551

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6159075