FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs

DOI10.1080/14697688.2024.2396977MaRDI QIDQ6657686

Maxime Bergeron, Sebastian Jaimungal, Unnamed Author

Publication date: 6 January 2025

Published in: Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites Work

• Unnamed Item
• Mercer's theorem on general domains: on the interaction between measures, kernels, and RKHSs
• Common functional principal components
• Functional data analysis
• The dynamics of implied volatilities: a common principal components approach
• Arbitrage-free SVI volatility surfaces
• Arbitrage-free smoothing of the implied volatility surface
• The Probability Integral Transform and Related Results
• Dynamics of implied volatility surfaces
• Deep hedging
• Simulation of Implied Volatility Surfaces via Tangent Lévy Models

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