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We construct realistic equity option market simulators based on generative adversarial networks (GANs).
Stock market prediction on high-frequency data using generative adversarial nets
Xingyu Zhou, Zhisong Pan, Guyu Hu, Siqi Tang, and Cheng Zhao · 1911
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The Pricing of Options and Corporate Liabilities
Fischer Black and Myron Scholes · 1973
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Steven Heston · 1993
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Pricing with a smile
Bruno Dupire · 1994
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Likelihood-based inference in cointegrated vector autoregressive models
Søren Johansen · 1995
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Dynamics of Implied Volatility Surfaces
Rama Cont and Joseé Da Fonseca · 2002
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Arbitrage-free market models for option prices
Johannes Wissel · 2007
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GARCH Models: Structure, Statistical Inference and Financial Applications
Christian Francq and Jean-Michel Zakoïan · 2010
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Generative Adversarial Nets
Ian Goodfellow, Jean Pouget-Abadie, Mehdi Mirza, Bing Xu, David Warde-Farley, Sherjil Ozair, Aaron Courville, and Yoshua Bengio · 2014
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Deep Learning
Ian Goodfellow, Yoshua Bengio, and Aaron Courville · 2016
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Wavenet: A generative model for raw audio
Aaron van den Oord, Sander Dieleman, Heiga Zen, Karen Simonyan, Oriol Vinyals, Alex Graves, Nal Kalchbrenner, Andrew Senior, and Koray Kavukcuoglu · 2016
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Amortised MAP Inference for Image Super-resolution
Casper Kaae Sønderby, Jose Caballero, Lucas Theis, Wenzhe Shi, and Ferenc Huszár · 2016
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Wasserstein Generative Adversarial Networks
Martin Arjovsky, Soumith Chintala, and Léon Bottou · 2017
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Discrete Local Volatility for Large Time Steps (Extended Version)
Hans Buehler and Evgeny Ryskin · 2017
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Spectral Normalization for Generative Adversarial Networks
Takeru Miyato, Toshiki Kataoka, Masanori Koyama, and Yuichi Yoshida · 2018
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Deep Hedging
Hans Buehler, Lukas Gonon, Josef Teichmann, and Ben Wood · 2019
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Eurex Monthly Statistics
Eurex · 2019
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Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination
Adriano Soares Koshiyama, Nick Firoozye, and Philip C. Treleaven · 2019
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Dynamic Replication and Hedging: A Reinforcement Learning Approach
Gordon Ritter and Petter N Kolm · 2019
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Modeling financial time-series with generative adversarial networks
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Ishaan Gulrajani, Faruk Ahmed, Martin Arjovsky, Vincent Dumoulin, and Aaron C Courville · 2017
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Generative Models and Model Criticism via Optimized Maximum Mean Discrepancy
Dougal J. Sutherland, Hsiao-Yu Tung, Heiko Strathmann, Soumyajit De, Aaditya Ramdas, Alexander J. Smola, and Arthur Gretton · 2017
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Large Scale GAN Training for High Fidelity Natural Image Synthesis
Andrew Brock, Jeff Donahue, and Karen Simonyan · 2018
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On the convergence properties of GAN training
Lars M. Mescheder · 2018
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Shuntaro Takahashi, Yu Chen, and Kumiko Tanaka-Ishii · 2019
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Kang Zhang, Guoqiang Zhong, Junyu Dong, Shengke Wang, and Yong Wang · 2019
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