2 papers
q-fin.PR2022
A new encoding of implied volatility surfaces for their synthetic generation
Zheng Gong, Wojciech Frys, Renzo Tiranti +3
In financial terms, an implied volatility surface can be described by its term structure, its skewness and its overall volatility level. We use a PCA variational auto-encoder model…
q-fin.CP2021
The Efficient Hedging Frontier with Deep Neural Networks
Zheng Gong, Carmine Ventre, John O'Hara
The trade off between risks and returns gives rise to multi-criteria optimisation problems that are well understood in finance, efficient frontiers being the tool to navigate their…