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Séminaire d’été étudiant – Sébastien Legros
juin 7 @ 13 h 30 min - 14 h 30 min
Implied volatility surface model using machine learning
Sébastien Legros
Étudiant à la maîtrise en ingénierie financière
HEC Montréal
Résumé
This study introduces a deep learning model designed to represent the implied volatility surfaces in a factor-based framework. Unlike traditional deep learning models, our approach enhances interpretability, a frequent challenge in deep learning applications. The model improves fitting performances on S&P500 options when compared to existing benchmarks. The model’s architecture not only captures the nuances of the volatility landscape but also facilitates the extraction of the risk-neutral density of the underlying assets.
Le séminaire aura lieu au local 3820 du pavillon Alexandre-Vachon et en ligne.
Pour rejoindre la réunion Zoom : https://ulaval.zoom.us/j/62763495125?pwd=L1ZmtqbZWifdbhVNkluMHoDxhha1PS.1