2 papers
q-fin.CP2023
Applying Deep Learning to Calibrate Stochastic Volatility Models
Abir Sridi, Paul Bilokon
Stochastic volatility models, where the volatility is a stochastic process, can capture most of the essential stylized facts of implied volatility surfaces and give more realistic…
q-fin.PR2013
The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
Damiano Brigo, Francesco Rapisarda, Abir Sridi
We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a…