Talks and presentations

Generating Synthetic Volatility Surfaces with Variational Autoencoders

January 01, 2022

Conference proceedings talk, Bloomberg Quant Seminar Series, New York, NY

Generating synthetic volatility surfaces based on model surfaces and market surfaces satisfying no arbitrage constraints.

Jumping from Volatility Surface to Option Price

January 01, 2021

Talk, Bloomberg Quant Seminar Series, New York, NY

Mitigating the model calibration issue by directly learning the map between the model parameter set and volatility surface to the option price trained on synthetic volatility surfaces generated by variational autoencoders.

Roman Paolucci

Talks and presentations

Generating Synthetic Volatility Surfaces with Variational Autoencoders

Jumping from Volatility Surface to Option Price