Random neural networks for rough volatility
backward stochastic differential equationsneural networksreservoir computingrough volatilitystochastic partial differential equations
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Artificial neural networks and deep learning (68T07) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
- L^p solutions of backward stochastic differential equations.
- A comparison of biased simulation schemes for stochastic volatility models
- A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
- Adapted solution of a backward stochastic differential equation
- An overview on deep learning-based approximation methods for partial differential equations
- Approximation bounds for random neural networks and reservoir systems
- Asymptotic behavior of the fractional Heston model
- Deep backward schemes for high-dimensional nonlinear PDEs
- Deep Curve-Dependent PDEs for Affine Rough Volatility
- Deep hedging
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
- Deep splitting method for parabolic PDEs
- DGM: a deep learning algorithm for solving partial differential equations
- DNN expression rate analysis of high-dimensional PDEs: application to option pricing
- Fractional Brownian Motions, Fractional Noises and Applications
- Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs
- Generalization error of random feature and kernel methods: hypercontractivity and kernel matrix concentration
- Geometric measure theory.
- scientific article; zbMATH DE number 410743 (Why is no real title available?)
- scientific article; zbMATH DE number 826154 (Why is no real title available?)
- Hybrid scheme for Brownian semistationary processes
- Optimal Stopping via Randomized Neural Networks
- Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations
- Pricing options under rough volatility with backward SPDEs
- Pricing under rough volatility
- Randomized neural network with Petrov-Galerkin methods for solving linear and nonlinear partial differential equations
- Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
- Reservoir computing quality: connectivity and topology
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- SDE based regression for linear random PDEs
- Solving high-dimensional partial differential equations using deep learning
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- The characteristic function of rough Heston models
- The microstructural foundations of leverage effect and rough volatility
- The pricing of options and corporate liabilities
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Universal approximation bounds for superpositions of a sigmoidal function
- Valuing American options by simulation: a simple least-squares approach
- Volatility is rough
- Volatility options in rough volatility models
- Weak Error Rates of Numerical Schemes for Rough Volatility
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