Milena Vuletić

University of Oxford

Radcliffe Observatory, Andrew Wiles Building

Woodstock Rd

Oxford, Oxfordshire OX2 6GG

United Kingdom

SCHOLARLY PAPERS

3

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Top 10,718

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8,406

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

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 Oxford - Department of Statistics and University of Oxford - Mathematical Institute
Downloads 4,672 (3,932)
Citation 2

Abstract:

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GANs, financial returns, time series forecasting, classification

2.

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 1,991 (15,554)
Citation 1

Abstract:

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

3.

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

Number of pages: 32 Posted: 28 Nov 2023 Last Revised: 21 Dec 2023
Milena Vuletić and Rama Cont
University of Oxford and University of Oxford
Downloads 1,743 (19,239)
Citation 1

Abstract:

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