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Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)

First Author: Jacquier A

Attributed to: Rough Volatility: A Trojan horse into modern Financial computing funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/19m1267805

Publication URI: http://dx.doi.org/10.1137/19m1267805

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 2