26 citations · 26 across the 4 of their papers we have counts for
5 papers
Universal Diffusion Models for Implied Volatility Surfaces: Learning Shared Dynamics Across Stocks
Mingzhi Yang, Sheng Wang, Chao Zhang +1
Modeling the dynamics of option implied volatility surface (IVS) is crucial for pricing, hedging, and risk-managing option portfolios. We develop a universal conditional diffusion…
Hedging option books using neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
We study the capability of arbitrage-free neural-SDE market models to yield effective strategies for hedging options. In particular, we derive sensitivity-based and minimum-varianc…
Estimating risks of option books using neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
In this paper, we examine the capacity of an arbitrage-free neural-SDE market model to produce realistic scenarios for the joint dynamics of multiple European options on a single u…
Arbitrage-free neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a non…
Detecting and repairing arbitrage in traded option prices
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
Option price data are used as inputs for model calibration, risk-neutral density estimation and many other financial applications. The presence of arbitrage in option price data ca…