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"FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional ..."

Vedant Choudhary, Sebastian Jaimungal, Maxime Bergeron (2023)

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DOI: 10.48550/ARXIV.2303.00859

access: open

type: Informal or Other Publication

metadata version: 2024-02-05

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  - journals/corr/abs-2303-00859
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  - https://dblp.org/rec/journals/corr/abs-2303-00859
Vedant Choudhary, Sebastian Jaimungal, Maxime Bergeron:
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. CoRR abs/2303.00859 (2023)

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