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Hannah Lai

National University of Singapore (NUS) - Department of Mathematics

119076

Singapore

  • National University of Singapore (NUS) - Department of Mathematics

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Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

Number of pages: 87 Posted: 28 Aug 2023 Last Revised: 17 Apr 2025
Ying Chen, Maria Grith and Hannah Lai
National University of Singapore (NUS) - Department of Mathematics, NEOMA Business School and National University of Singapore (NUS) - Department of Mathematics
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Abstract:

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Implied Volatility Surfaces, Neural Networks, Neural Tangent Kernal, Nonlinear Functional Autoregression, Option Trading Strategies