1 citations · 1 across the 3 of their papers we have counts for
3 papers
cs.LG2023★ 1 cited
Sig-Splines: universal approximation and convex calibration of time series generative models
Magnus Wiese, Phillip Murray, Ralf Korn
We propose a novel generative model for multivariate discrete-time time series data. Drawing inspiration from the construction of neural spline flows, our algorithm incorporates li…
q-fin.CP2021
Multi-Asset Spot and Option Market Simulation
Magnus Wiese, Ben Wood, Alexandre Pachoud +4
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed cal…
cs.LG2021
Estimating the Value-at-Risk by Temporal VAE
Robert Sicks, Stefanie Grimm, Ralf Korn +1
Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions. As the joint log-returns of asset prices can often be projecte…