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