2 papers
cs.LG2022
Interpolation of Missing Swaption Volatility Data using Gibbs Sampling on Variational Autoencoders
Ivo Richert, Robert Buch
Albeit of crucial interest for both financial practitioners and researchers, market-implied volatility data of European swaptions often exhibit large portions of missing quotes due…
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…