We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that approximates efficient low-dimensional representations of the prices while maintaining no static arbitrage in the reconstructed surface. Given a multi-asset universe, we leverage the conditional invertibility property of normalizing flows and introduce a scalable method to calibrate the joint distribution of a set of independent simulators while preserving the dynamics of each simulator. Empirical results highlight the goodness of the calibrated simulators and their fidelity.
@article{arxiv.2112.06823,
title = {Multi-Asset Spot and Option Market Simulation},
author = {Magnus Wiese and Ben Wood and Alexandre Pachoud and Ralf Korn and Hans Buehler and Phillip Murray and Lianjun Bai},
journal= {arXiv preprint arXiv:2112.06823},
year = {2021}
}