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Maxime Bergeron

Riskfuel Analytics

Toronto

Canada

http://https://riskfuel.com/

  • Riskfuel Analytics

SCHOLARLY PAPERS

3

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1,759

TOTAL CITATIONS

0

Scholarly Papers (3)

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1.

FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs

Number of pages: 30 Posted: 07 Mar 2023 Last Revised: 11 Apr 2023
Vedant Choudhary, Sebastian Jaimungal and Maxime Bergeron
University of Toronto - Department of Statistical Sciences, University of Toronto - Department of Statistics and Riskfuel Analytics
Downloads 1,055 (53,108)

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generative models, neural SDEs, functional data analysis, implied volatility

2.

Variational Autoencoders: A Hands-Off Approach to Volatility

Number of pages: 28 Posted: 19 Apr 2021
Maxime Bergeron, Nicholas Fung, Zissis Poulos, John C. Hull and Andreas Veneris
Riskfuel Analytics, University of Toronto - The Edward S. Rogers Sr. Department of Electrical and Computer Engineering, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto
Downloads 436 (166,552)

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Derivatives; Unsupervised learning; Variational autoencoders

3.

LIBOR Prompts Quantile Leap: Machine Learning for Quantile Derivatives

Number of pages: 5 Posted: 12 Jul 2021
Maxime Bergeron, Ryan Ferguson, Vladimir Lucic and Ivan Sergienko
Riskfuel Analytics, Riskfuel, Imperial College London and Riskfuel Analytics
Downloads 268 (283,835)

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Machine Learning, Deep Learning, Libor, Libor reform, Median, Quantile, Percentile, RFR, OIS, Risk-Free Rates, Sonia, Fallback, Brownian motion with drift, Fallback Spread, Libor Adjustment Spread