Milena Vuletić

University of Oxford

Radcliffe Observatory, Andrew Wiles Building

Woodstock Rd

Oxford, Oxfordshire OX2 6GG

United Kingdom

  • University of Oxford

SCHOLARLY PAPERS

3

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4

Scholarly Papers (3)

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1.

VolGAN: a generative model for arbitrage-free implied volatility surfaces

Number of pages: 45 Posted: 28 Nov 2023 Last Revised: 19 Feb 2025
Milena Vuletić and Rama Cont
University of Oxford and University of Oxford
Downloads 5,577 (3,314)
Citation 1

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GAN, generative models, implied volatility, simulation, arbitrage, option markets, VIX, genAI

2.

Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks

Number of pages: 34 Posted: 19 Jan 2023 Last Revised: 24 May 2023
Milena Vuletić, Mihai Cucuringu and Felix Prenzel
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 5,358 (3,585)
Citation 2

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GANs, financial returns, time series forecasting, classification

3.

Simulation of Arbitrage-Free Implied Volatility Surfaces

Number of pages: 33 Posted: 10 Jan 2023 Last Revised: 26 Jun 2023
Rama Cont and Milena Vuletić
University of Oxford and University of Oxford
Downloads 2,401 (13,254)
Citation 1

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Implied volatility, scenario simulation, volatility modeling, risk management, factor models, arbitrage