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

Vedant Choudhary, Sebastian Jaimungal and Maxime Bergeron

Year of publication:	2024
Authors:	Choudhary, Vedant ; Jaimungal, Sebastian ; Bergeron, Maxime
Subject:	Functional data analysis \| Generative models \| Implied volatility \| Neural SDEs \| Volatilität \| Volatility \| Neuronale Netze \| Neural networks \| Optionspreistheorie \| Option pricing theory \| Prognoseverfahren \| Forecasting model \| Simulation

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