In this paper, we introduce a 3D finite dimensional Gaussian process (GP) regression approach for learning arbitrage-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed 'constrained' GP regression approach is proven to be arbitrage-free along the strike...

Deep learning for option pricing has emerged as a novel methodology for fast computations with applications in calibration and computation of Greeks. However, many of these approaches do not enforce any no-arbitrage conditions, and the subsequent local volatility surface is never considered. In...

The 2007 subprime crisis has induced a persistent disconnection between the LIBOR derivative markets of different tenors and the OIS swap market. Commonly proposed explanations for the corresponding spreads are a combination of credit risk and liquidity risk. However in these explanations the...