Related papers: Meta-Learning Neural Process for Implied Volatilit…

In this work, we design a machine learning based method, online adaptive primal support vector regression (SVR), to model the implied volatility surface (IVS). The algorithm proposed is the first derivation and implementation of an online…

We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other…

Representing a signal as a continuous function parameterized by neural network (a.k.a. Implicit Neural Representations, INRs) has attracted increasing attention in recent years. Neural Processes (NPs), which model the distributions over…

This study introduces a SABR-informed multitask Gaussian process for constructing implied volatility surfaces from sparse option quotes. We treat a dense synthetic dataset generated by a calibrated SABR model as the source task and market…

We present a deep learning framework for pricing options based on market-implied volatility surfaces. Using end-of-day S\&P 500 index options quotes from 2018-2023, we construct arbitrage-free volatility surfaces and generate training data…

We study the reconstruction of implied volatility surfaces from sparse and noisy option quotes using deep learning models under no-arbitrage constraints. We compare multiple neural architectures, including multilayer perceptrons,…

The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful…

It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…

We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage. In the first step, we select features to represent the surface and predict them over time. In the second step, we use the…

We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models…

High-resolution slice-to-volume reconstruction (SVR) from multiple motion-corrupted low-resolution 2D slices constitutes a critical step in image-based diagnostics of moving subjects, such as fetal brain Magnetic Resonance Imaging (MRI).…

This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning. The approach augments the neural-network input…

We introduce a new approach for generating sequences of implied volatility (IV) surfaces across multiple assets that is faithful to historical prices. We do so using a combination of functional data analysis and neural stochastic…

This paper shows a novel machine learning model for realized volatility (RV) prediction using a normalizing flow, an invertible neural network. Since RV is known to be skewed and have a fat tail, previous methods transform RV into values…

Recovering high-quality surfaces from irregular point cloud is ill-posed unless strong geometric priors are available. We introduce an implicit self-prior approach that distills a shape-specific prior directly from the input point cloud…

Surface reconstruction has traditionally relied on the Multi-View Stereo (MVS)-based pipeline, which often suffers from noisy and incomplete geometry. This is due to that although MVS has been proven to be an effective way to recover the…

We propose VISP: Volatility Informed Stochastic Projection, an adaptive regularization method that leverages gradient volatility to guide stochastic noise injection in deep neural networks. Unlike conventional techniques that apply uniform…

Implicit Neural Representations (INRs) are a versatile and powerful tool for encoding various forms of data, including images, videos, sound, and 3D shapes. A critical factor in the success of INRs is the initialization of the network,…

Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors,…

Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the risk-neutrality of the former into conditions on the latter…