Natasa Tagasovska

University of Lausanne

France

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Deep Smoothing of the Implied Volatility Surface

Proceedings of the 34th Conference on Neural Information Processing Systems (NeurIPS 2020)

Number of pages: 30 Posted: 20 Jun 2019 Last Revised: 26 Oct 2020

Damien Ackerer, Natasa Tagasovska and Thibault Vatter

École Polytechnique Fédérale de Lausanne (EPFL), University of Lausanne and Columbia University - Departments of Statistics and Mathematics

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