Deep Curve-Dependent PDEs for Affine Rough Volatility
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Publication:6159075
DOI10.1137/19M1267805zbMATH Open1516.91062OpenAlexW3109759108MaRDI QIDQ6159075FDOQ6159075
Authors: Antoine Jacquier, Mugad Oumgari 
Publication date: 1 June 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Abstract: We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent PDE (CPDE), depending on forward curves rather than the whole path of the process, for which we develop a numerical scheme based on deep learning techniques. Numerical simulations suggest that the latter is a promising alternative to classical Monte Carlo simulations.
Full work available at URL: https://arxiv.org/abs/1906.02551
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Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)
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Cited In (11)
- Calibrating rough volatility models: a convolutional neural network approach
- Lookback option pricing under the double Heston model using a deep learning algorithm
- A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
- Interest rate convexity in a Gaussian framework
- Approximation rates for deep calibration of (rough) stochastic volatility models
- Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
- Cubature Method for Stochastic Volterra Integral Equations
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Pricing options under rough volatility with backward SPDEs
- Deep signature algorithm for multidimensional path-dependent options
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
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