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q-fin.CP2026
SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
Hans Buehler, Blanka Horvath, Anastasis Kratsios +2
We present a simple, numerically efficient but highly flexible non-parametric method to construct representations of option price surfaces which are both smooth and strictly arbitr…
q-fin.CP2023
Generative Ornstein-Uhlenbeck Markets via Geometric Deep Learning
Anastasis Kratsios, Cody Hyndman
We consider the problem of simultaneously approximating the conditional distribution of market prices and their log returns with a single machine learning model. We show that an in…