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"Deep Curve-Dependent PDEs for Affine Rough Volatility."

Antoine Jacquier, Mugad Oumgari (2023)

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DOI: 10.1137/19M1267805

access: closed

type: Journal Article

metadata version: 2023-05-17

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Antoine Jacquier, Mugad Oumgari:
Deep Curve-Dependent PDEs for Affine Rough Volatility. SIAM J. Financial Math. 14(2): 353-382 (2023)

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