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q-fin.CP2026
PIVOT: Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator
Raeid Saqur, Yannick Limmer, Anastasis Kratsios +2
Modern option-learning systems operate in two coordinates: price space, where markets quote and no-arbitrage constraints are most naturally enforced, and implied volatility (IV) sp…
q-fin.CP2017
Optimal Stochastic Decensoring and Applications to Calibration of Market Models
Anastasis Kratsios
Typically flat filling, linear or polynomial interpolation methods to generate missing historical data. We introduce a novel optimal method for recreating data generated by a diffu…