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Haris Rasul

University of Toronto

105 St George Street

Toronto, Ontario M5S 3G8

Canada

  • University of Toronto

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Scholarly Papers (1)

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A Variational Autoencoder Approach to Conditional Generation of Possible Future Volatility Surfaces

Number of pages: 31 Posted: 29 Nov 2023
Jacky Chen, John C. Hull, Zissis Poulos, Haris Rasul, Andreas Veneris and Yuntao Wu
University of Toronto, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto, University of Toronto and University of Toronto
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Abstract:

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Implied volatility surfaces, variational autoencoders, long short-term memory