stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …

We employ neural networks to understand volatility surface movements. We first use daily data on options on the S&P 500 … index to derive a relationship between the expected change in implied volatility and three variables: the return on the … volatility surface to movements in the index is quite different in high and low volatility environments …

volatility surfaces. For this purpose we treat the implied volatility surface together with some auxiliary data, namely the …

Here, we introduce a new approach for generating sequences of implied volatility (IV) surfaces across multiple assets …