A conditional VAE controlled by quantified shape features can generate implied volatility surfaces matching user-specified level, slope, curvature, and term structure.
Financial crises, implied volatility and stress testing
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Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders
A conditional VAE controlled by quantified shape features can generate implied volatility surfaces matching user-specified level, slope, curvature, and term structure.