Publicação
Predicting the implied volatility surface via deep learning
| Resumo: | This thesis explores deep learning techniques for predicting the implied volatility surface (IVS), a critical component in options pricing and risk management. By applying ConvLSTM and Self-Attention mechanisms, the study evaluates their ability to capture spatial and temporal patterns across strikes and maturities. Results show that grid-based ConvLSTM excels in short-term forecasting, while Self-Attention enhances long-term accuracy by capturing global dependencies. The models were retrained and evaluated under volatile regimes, including the COVID-19 crash, testing their robustness in extreme market conditions. The findings contribute to improved IV surface predictions, benefiting strategies like volatility arbitrage and dynamic hedging. |
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| Autores principais: | Lee, Nicolas Yong Joon |
| Assunto: | Implied volatility surface ConvLSTM Stochastic volatility inspired Volatility forecasting Deep learning Self-attention mechanism Neural networks Volatility surface IVS calibration Options pricing |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This thesis explores deep learning techniques for predicting the implied volatility surface (IVS), a critical component in options pricing and risk management. By applying ConvLSTM and Self-Attention mechanisms, the study evaluates their ability to capture spatial and temporal patterns across strikes and maturities. Results show that grid-based ConvLSTM excels in short-term forecasting, while Self-Attention enhances long-term accuracy by capturing global dependencies. The models were retrained and evaluated under volatile regimes, including the COVID-19 crash, testing their robustness in extreme market conditions. The findings contribute to improved IV surface predictions, benefiting strategies like volatility arbitrage and dynamic hedging. |
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