2 papers
q-fin.CP2026
SABR-Informed Multitask Gaussian Process: A Synthetic-to-Real Framework for Implied Volatility Surface Construction
Jirong Zhuang, Xuan Wu
This study introduces a SABR-informed multitask Gaussian process for constructing implied volatility surfaces from sparse option quotes. We treat a dense synthetic dataset generate…
q-fin.CP2025
Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors
Jirong Zhuang, Xuan Wu
We treat implied volatility surface (IVS) reconstruction as a learning problem guided by two principles. First, we adopt a meta-learning view that trains across trading days to lea…