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2212.09957
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Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints
20 December 2022
Marc Chataigner
Areski Cousin
Stéphane Crépey
M. Dixon
Djibril Gueye
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Papers citing
"Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints"
2 / 2 papers shown
Title
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
Brian Ning
S. Jaimungal
Xiaorong Zhang
Maxime Bergeron
25
14
0
10 Aug 2021
KrigHedge: Gaussian Process Surrogates for Delta Hedging
M. Ludkovski
Yuri F. Saporito
35
5
0
16 Oct 2020
1
