Cuchiero, Christa; Khosrawi, Wahid; Teichmann, Josef - In: Risks : open access journal 8 (2020) 4/101, pp. 1-31
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in … particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family … be seen in the context of neural SDEs and (causal) generative adversarial networks: we generate volatility surfaces by …