Séminaire d’été étudiant – Sébastien Legros

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