FuNVol: A Multi-Asset Implied Volatility Market Simulator using
Functional Principal Components and Neural SDEs

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FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs

1 March 2023

Vedant Choudhary

Maxime Bergeron

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Papers citing "FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs"

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Title
Universal approximation property of neural stochastic differential equations Anna P. Kwossek David J. Prömel Josef Teichmann 101 1 0 20 Mar 2025
Efficient Training of Neural Stochastic Differential Equations by Matching Finite Dimensional Distributions Jianxin Zhang Josh Viktorov Doosan Jung Emily Pitler DiffM 232 0 0 04 Oct 2024
Kullback-Leibler Barycentre of Stochastic Processes S. Jaimungal Silvana M. Pesenti 105 1 0 05 Jul 2024
Non-adversarial training of Neural SDEs with signature kernel scores Zacharia Issa Blanka Horvath M. Lemercier C. Salvi AI4TS 116 26 0 25 May 2023
Generative modeling for time series via Schr{ö}dinger bridge Mohamed Hamdouche P. Henry-Labordère H. Pham AI4TS DiffM OT 67 13 0 11 Apr 2023
Arbitrage-free neural-SDE market models Samuel N. Cohen C. Reisinger Sheng Wang 51 29 0 24 May 2021