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FuNVol : multi-asset implied volatility market simulator using functional principal components and neural SDEs
Choudhary, Vedant
;
Jaimungal, Sebastian
;
Bergeron, Maxime
- In:
Quantitative finance
24
(
2024
)
8
,
pp. 1077-1103
Persistent link: https://www.econbiz.de/10015196872
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