Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders

10 August 2021

Papers citing "Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders"

6 / 6 papers shown

Title
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints Marc Chataigner Areski Cousin Stéphane Crépey M. Dixon Djibril Gueye 34 8 0 20 Dec 2022
Arbitrage-free neural-SDE market models Samuel N. Cohen C. Reisinger Sheng Wang 8 29 0 24 May 2021
Decision-Making with Auto-Encoding Variational Bayes Romain Lopez Pierre Boyeau Nir Yosef Michael I. Jordan Jeffrey Regier BDL 182 10,591 0 17 Feb 2020
Deep Smoothing of the Implied Volatility Surface Damien Ackerer Natasa Tagasovska Thibault Vatter 53 34 0 12 Jun 2019
Deeply Learning Derivatives Ryan Ferguson Andrew Green 52 43 0 06 Sep 2018
Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling Yaxiong Zeng Diego Klabjan 16 25 0 06 Jun 2017