Physics-informed convolutional transformer for predicting volatility surface

DOI10.1080/14697688.2023.2294799MaRDI QIDQ6546314zbMATH OpenFDO

Authors Seok-Bae Yun, Hyeong-Ohk Bae, Youngjoon Hong

Publication date 29 May 2024

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2294799

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
• FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• A neural network approach to understanding implied volatility movements
• A neural network approach to understanding implied volatility movements

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A physics-guided neural network framework for elastic plates: comparison of governing equations-based and energy-based approaches
• A practical guide to splines
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• Asymptotics and calibration of local volatility models
• Calibrating volatility surfaces via relative-entropy minimization
• Dynamics of implied volatility surfaces
• Extended Physics-Informed Neural Networks (XPINNs): A Generalized Space-Time Domain Decomposition Based Deep Learning Framework for Nonlinear Partial Differential Equations
• Hidden fluid mechanics: Learning velocity and pressure fields from flow visualizations
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Machine learning in cardiovascular flows modeling: predicting arterial blood pressure from non-invasive 4D flow MRI data using physics-informed neural networks
• Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• The pricing of options and corporate liabilities

Cited in

(4)

• DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
• Reconstructing piecewise constant local volatility surfaces
• Regime-aware time weighting for physics-informed neural networks
• Forward-time Black-Scholes reconstruction via regularized Legendre reduction

This page was built for publication: Physics-informed convolutional transformer for predicting volatility surface

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6546314)