Deep Curve-Dependent PDEs for Affine Rough Volatility.
Antoine JacquierMugad OumgariPublished in: SIAM J. Financial Math. (2023)
Keyphrases
- partial differential equations
- curve evolution
- affine transformation
- rough sets
- stock market
- stock price
- level set
- b spline
- curve matching
- affine invariant
- image registration
- numerical solution
- stock index futures
- image processing
- garch model
- gradient flow
- exchange rate
- endpoints
- anisotropic diffusion
- image denoising
- roc curve
- shape analysis
- financial crisis
- geometric active contours
- long term