Web: http://arxiv.org/abs/2108.04941

Jan. 31, 2022, 2:11 a.m. | Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron

cs.LG updates on arXiv.org arxiv.org

We propose a hybrid method for generating arbitrage-free implied volatility
(IV) surfaces consistent with historical data by combining model-free
Variational Autoencoders (VAEs) with continuous time stochastic differential
equation (SDE) driven models. We focus on two classes of SDE models: regime
switching models and L\'evy additive processes. By projecting historical
surfaces onto the space of SDE model parameters, we obtain a distribution on
the parameter subspace faithful to the data on which we then train a VAE.
Arbitrage-free IV surfaces are …


More from arxiv.org / cs.LG updates on arXiv.org

Data Engineer, Buy with Prime

@ Amazon.com | Santa Monica, California, USA

Data Architect – Public Sector Health Data Architect, WWPS

@ Amazon.com | US, VA, Virtual Location - Virginia

[Job 8224] Data Engineer - Developer Senior

@ CI&T | Brazil

Software Engineer, Machine Learning, Planner/Behavior Prediction

@ Nuro, Inc. | Mountain View, California (HQ)

Lead Data Scientist

@ Inspectorio | Ho Chi Minh City, Ho Chi Minh City, Vietnam - Remote

Data Engineer

@ Craftable | Portugal - Remote