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Vedant Choudhary

University of Toronto - Department of Statistical Sciences

Doctoral Candidate

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

  • University of Toronto - Department of Statistical Sciences

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Scholarly Papers (1)

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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
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Abstract:

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