Multi-Asset Spot and Option Market Simulation

no code implementations • 13 Dec 2021 • Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Phillip Murray, Lianjun Bai

We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows.

Deep Hedging: Learning to Simulate Equity Option Markets

1 code implementation • 5 Nov 2019 • Magnus Wiese, Lianjun Bai, Ben Wood, Hans Buehler

We construct realistic equity option market simulators based on generative adversarial networks (GANs).

Time Series Time Series Analysis