A conditioned diffusion model with SNR-weighted arbitrage penalty generates one-day-ahead arbitrage-free implied volatility surfaces and outperforms baselines on market data.
Convergence of the denoising diffusion probabilistic models for general noise schedules.arXiv preprint arXiv:2406.01320, 2024
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HYVINT introduces an intensity-driven incidence mechanism and tractable variational estimator for hypergraph generation, with error bounds and empirical gains in fidelity, novelty, and diversity.
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Forecasting implied volatility surface with generative diffusion models
A conditioned diffusion model with SNR-weighted arbitrage penalty generates one-day-ahead arbitrage-free implied volatility surfaces and outperforms baselines on market data.
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HYVINT: Intensity-Driven Hypergraph Generation with Variational Representations
HYVINT introduces an intensity-driven incidence mechanism and tractable variational estimator for hypergraph generation, with error bounds and empirical gains in fidelity, novelty, and diversity.