7 citations · 10 across the 2 of their papers we have counts for
2 papers
q-fin.MF2021★ 7 cited
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
Brian Ning, Sebastian Jaimungal, Xiaorong Zhang +1
We propose a hybrid method for generating arbitrage-free implied volatility (IV) surfaces consistent with historical data by combining model-free Variational Autoencoders (VAEs) wi…
q-fin.CP2021★ 3 cited
Variational Autoencoders: A Hands-Off Approach to Volatility
Maxime Bergeron, Nicholas Fung, John Hull +1
A volatility surface is an important tool for pricing and hedging derivatives. The surface shows the volatility that is implied by the market price of an option on an asset as a fu…