11 citations · 26 across the 26 of their papers we have counts for
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q-fin.MF2026
DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
Hans Buehler, Blanka Horvath, Anastasis Kratsios +1
This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage. Our model is…
q-fin.MF2017★ 7 cited
Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization
Anastasis Kratsios, Cody B. Hyndman
We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to…