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stat.ML2019★ 22 cited
Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
Natasa Tagasovska, Damien Ackerer, Thibault Vatter
We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencod…
q-fin.PR2019
Deep Smoothing of the Implied Volatility Surface
Damien Ackerer, Natasa Tagasovska, Thibault Vatter
We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such m…