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Rough PDEs for local stochastic volatility models

Publication: Rough PDEs for local stochastic volatility models. Published Jul 18, 2023.

Research & Papers
arxiv.orgPublished Jul 18, 2023
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Overview

Publication: Rough PDEs for local stochastic volatility models. Published Jul 18, 2023.

Publication information

Publication title
Rough PDEs for local stochastic volatility models
Authors
Peter Bank, Christian Bayer, Peter K. Friz, Luca Pelizzari
Published
Jul 18, 2023
Last publication revision
Mar 21, 2025
Subject areas
q-fin.MF, math.PR
Publication source
arxiv.org · abs/2307.09216v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2307.09216 ↗

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Screenshot unavailableResource information and source links remain available. DeepIntoStreams/TSFM_Finance — reviewed source website screenshot
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DeepIntoStreams/TSFM_Finance

github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

GitHub stars
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Language
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Code license
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