3 papers
q-fin.CP2026
Implied Volatility Expansions for VIX Options in Forward Variance Models
Ying Liao, Ankush Agarwal, Florian Bourgey
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VI…
q-fin.CP2026
Forecasting implied volatility surface with generative diffusion models
Chen Jin, Ankush Agarwal
Diffusion Probabilistic Model (DDPM) for generating one-day-ahead arbitrage-free implied volatility surfaces. To capture the path-dependent nature of volatility dynamics, we condit…
math.NA2026
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent
Ankush Agarwal, Andrea Amato, Goncalo dos Reis +1
We propose a novel approach to numerically approximate McKean-Vlasov stochastic differential equations (MV-SDE) using stochastic gradient descent (SGD) while avoiding the use of in…