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

1 March 2023

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

6 / 6 papers shown

Title
Efficient Training of Neural Stochastic Differential Equations by Matching Finite Dimensional Distributions Jianxin Zhang Josh Viktorov Doosan Jung Emily Pitler DiffM 41 0 0 04 Oct 2024
Kullback-Leibler Barycentre of Stochastic Processes S. Jaimungal Silvana M. Pesenti 40 1 0 05 Jul 2024
Non-adversarial training of Neural SDEs with signature kernel scores Zacharia Issa Blanka Horvath M. Lemercier C. Salvi AI4TS 37 24 0 25 May 2023
Generative modeling for time series via Schr{ö}dinger bridge Mohamed Hamdouche P. Henry-Labordère H. Pham AI4TS DiffM OT 32 11 0 11 Apr 2023
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning Anthony Coache S. Jaimungal Á. Cartea 28 13 0 29 Jun 2022
Convolutional LSTM Network: A Machine Learning Approach for Precipitation Nowcasting Xingjian Shi Zhourong Chen Hao Wang Dit-Yan Yeung W. Wong W. Woo 233 7,904 0 13 Jun 2015