2 papers
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…
q-fin.ST2025
CTBench: Cryptocurrency Time Series Generation Benchmark
Yihao Ang, Qiang Wang, Qiang Huang +5
Synthetic time series are essential tools for data augmentation, stress testing, and algorithmic prototyping in quantitative finance. However, in cryptocurrency markets, characteri…