267 citations · 286 across the 12 of their papers we have counts for
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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…