Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the...

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Bibliographic Details
Main Authors: Herron, Christopher, Zachrisson, André
Format: Others
Language:English
Published: KTH, Matematisk statistik 2020
Subjects:
Applied Mathematics
Machine Learning
Statistics
Gaussian Process
Neural Network
Options
Volatility
Implied Volatility Surface
Black Scholes
Tillämpad matematik
Maskininlärning
Statistik
Gaussisk Process
Neurala Nätverk
Optioner
Volatilitet
Implicit Volatilitetsyta
Probability Theory and Statistics
Sannolikhetsteori och statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273419

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273419

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