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Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders.
Brian Ning
Sebastian Jaimungal
Xiaorong Zhang
Maxime Bergeron
Published in:
SIAM J. Financial Math. (2023)
Keyphrases
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stock price
financial markets
denoising
non stationary
three dimensional
image segmentation
portfolio management
d objects
stock market
cross section
surface reconstruction
historical data
stock returns
neural network
generation process
object surface
range data
long term
multiscale