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Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books.
Deep learning calibration of option pricing models: some pitfalls and solutions, 2019
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P. S. Hagan, D. Kumar, A. S. Lesniewski, and D. E. Woodward · 2002
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P. Carr, H. Geman, D. Madan, and M. Yor · 2003
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An arbitrage-free interpolation of volatilities
N. Kahale · 2004
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A note on sufficient conditions for no arbitrage
P. Carr and D. B. Madan · 2005
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Markovian projection method for volatility calibration
V. Piterbarg · 2006
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HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
Risk-neutral compatibility with option prices
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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
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J. Kallsen and P. Krühner · 2013
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J. Gatheral and A. Jacquier · 2014
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P. S. Hagan, D. Kumar, A. S. Lesniewski, and D. E. Woodward · 2014
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R. Carmona · 2007
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Conditions on option prices for absence of arbitrage and exact calibration
L. Cousot · 2007
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Volatility surfaces: theory, rules of thumb, and empirical evidence
T. Daglish, J. Hull, and W. Suo · 2007
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The range of traded option prices
M. H. A. Davis and D. G. Hobson · 2007
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Robust pricing and hedging via neural SDEs, 2020
P. Gierjatowicz, M. Sabate-Vidales, D. Šiška, Ł. Szpruch, and Ž. Žurič · 2007
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The numéraire portfolio in semimartingale financial models
I. Karatzas and C. Kardaras · 2007
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TensorFlow: Large-scale machine learning on heterogeneous systems, 2015
M. Abadi, et al · 2015
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Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
M. R. Fengler and L.-Y. Hin · 2015
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Market completion with derivative securities
D. C. Schwarz · 2017
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V-integrability, asymptotic stability and comparison theorem of explicit numerical schemes for SDEs
Ł. Szpruch and X. Zhang · 2018
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Improving the flexibility and robustness of model-based derivative-free optimization solvers
C. Cartis, J. Fiala, B. Marteau, and L. Roberts · 2019
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Deep local volatility
M. Chataigner, S. Crépey, and M. Dixon · 2020
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Detecting and repairing arbitrage in traded option prices
S. N. Cohen, C. Reisinger, and S. Wang · 2020
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A generative adversarial network approach to calibration of local stochastic volatility models
C. Cuchiero, W. Khosrawi, and J. Teichmann · 2020
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https://www.quantlib.org/
QuantLib, a free/open-source library for quantitative finance · 2021
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Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
A. Bain, M. Mariapragassam, and C. Reisinger · 2021
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White paper: CBOE volatility index, 2019
CBOE · 2021
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FX volatility smile construction
D. Reiswich and U. Wystup · 2021
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