{"id":"W7025511758","doi":"","title":"Variational Autoencoders for Volatility Surfaces","year":2021,"lang":"","type":"dissertation","venue":"TSpace","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"Natural Sciences and Engineering Research Council of Canada; Mitacs; University of Toronto","keywords":"Volatility (finance); Implied volatility; Volatility smile; Foreign exchange; Foreign exchange market; Stochastic volatility; SABR volatility model; Valuation of options; Volatility swap","routes":{"ca_aff":false,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001267907,0.0009040328,0.0007030362,0.0005981255,0.000389989,0.001140707,0.0008366235,0.0013959,0.002514686],"category_scores_gemma":[0.004999274,0.0007344906,0.001100177,0.0004435746,0.00107741,0.001193027,0.001241913,0.002415649,0.0004328635],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001134076,"about_ca_system_score_gemma":0.0008548973,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.008030144,"about_ca_topic_score_gemma":0.007928571,"domain_scores_codex":[0.9996996,0.0001192751,0.00001769402,0.00006564253,0.00006759906,0.00003025123],"domain_scores_gemma":[0.9979448,0.001641775,0.00007664404,0.00009032925,0.0001954786,0.00005102313],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00001287319,0.00001411737,0.0004103428,0.00005217584,0.0000332297,0.0000280619,0.00006059896,0.927416,0.000997276,0.0481187,0.0009485395,0.02190815],"study_design_scores_gemma":[0.000001040029,0.000002578608,0.0000387654,0.000004145645,0.000001187441,0.000002524285,0.000002968744,0.9911781,0.00008691667,0.008460113,0.0002198647,0.000001899461],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01292437,0.0005286516,0.9838419,0.0003627894,0.00004705529,0.00002203743,0.00009879787,0.0002024357,0.001972015],"genre_scores_gemma":[0.5887378,0.001919239,0.3939209,0.0003618883,0.0001925148,0.0003439696,0.0009505615,0.0004492773,0.01312371],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.008030144,"threshold_uncertainty_score":0.01596683,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0370890345898651,"score_gpt":0.3027848728522001,"score_spread":0.2656958382623349,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}