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A neural network approach to understanding implied volatility movements

Cao, Jay; Chen, Jacky; Hull, John - In: Quantitative finance 20 (2020) 9, pp. 1405-1413

Persistent link: https://www.econbiz.de/10012295608

Calibrating rough volatility models : a convolutional neural network approach

Stone, Henry - In: Quantitative finance 20 (2020) 3, pp. 379-392

Persistent link: https://www.econbiz.de/10012194872

Deep learning volatility : a deep neural network perspective on pricing and calibration in (rough) volatility models

Horvath, Blanka Nora; Muguruza, Aitor; Tomas, Mehdi - In: Quantitative finance 21 (2021) 1, pp. 11-27

Persistent link: https://www.econbiz.de/10012424629

FuNVol : A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs

Choudhary, Vedant; Jaimungal, Sebastian; Bergeron, Maxime - 2023

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

Persistent link: https://www.econbiz.de/10014254286

Volatility Model Calibration With Convolutional Neural Networks

Dimitroff, Georgi; Röder, Dirk; Fries, Christian P. - 2018

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

Persistent link: https://www.econbiz.de/10014111236

Local Volatility and Hopfield Neural Network

Dell'Era, Mario - 2022

estimate the Local Volatility σ(S t , t ), in order to speed up the calibration process, which often is time consuming and …

Persistent link: https://www.econbiz.de/10013405041

Parallel architecture of CNN-bidirectional LSTMs for implied volatility forecast

Choi, Ji-Eun; Shin, Dong-wan - In: Journal of forecasting 41 (2022) 6, pp. 1087-1098

Persistent link: https://www.econbiz.de/10013465682

Neural Joint S&P 500/VIX Smile Calibration

Guyon, Julien; Mustapha, Scander - 2023

&P 500 and VIX maturities. A one-factor Markovian stochastic local volatility model is shown to fit both smiles and VIX … futures within bid-ask spreads. The joint calibration actually makes it a pure path-dependent volatility model, confirming the …

Persistent link: https://www.econbiz.de/10014255250

Option pricing: The empirical tests of the black-scholes pricing formula and the feed-forward network

Vlasáková Baruníková, Michaela - 2009

In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till 8.6.2007. Our results on call options show...

Persistent link: https://www.econbiz.de/10010322207

Deep local volatility

Chataigner, Marc; Crépey, Stéphane; Dixon, Matthew F. - In: Risks 8 (2020) 3, pp. 1-18

subsequent local volatility surface is never considered. In this article, we develop a deep learning approach for interpolation … performance. A novel component is the use of the Dupire formula to enforce bounds on the local volatility associated with option …

Persistent link: https://www.econbiz.de/10013200615