Random neural networks for rough volatility

Abstract

We construct a deep learning-based numerical algorithm to solve path-dependent partial differential equations arising in the context of rough volatility. Our approach is based on interpreting the PDE as a solution to an BSDE, building upon recent insights by Bayer, Qiu and Yao, and on constructing a neural network of reservoir type as originally developed by Gonon, Grigoryeva, Ortega. The reservoir approach allows us to formulate the optimisation problem as a simple least-square regression for which we prove theoretical convergence properties.

36 pages, 3 figures