Deep Curve-Dependent PDEs for Affine Rough Volatility
Author:
Affiliation:
1. Department of Mathematics, Imperial College London, London SW7 2BX, UK, and Alan Turing Institute, London NW1 2DB, UK.
2. Lloyds Banking Group plc, Commercial Banking, 10 Gresham Street, London, EC2V 7AE, UK.
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Reference66 articles.
1. Lifting the Heston model
2. Affine Volterra processes
3. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
4. Convergence of approximation schemes for fully nonlinear second order equations
5. Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
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