This repository contains the implementation of FuNVol for simulating implied volatility surfaces and market data
Paper link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4377204
Authors: Vedant Choudhary, Sebastian Jaimungal, Maxime Bergeron
The dataset cannot be made available publicly due to licensing issues. However, a notebook has been made available which uses the trained model to provide sample plots and values of the generated IV surfaces as well as the price paths. Please refer to comments in cell 3 of generated_data.ipynb for details.
We acknowledge the support of the Natural Sciences & Engineering Research council of Canada through NSERC Alliance [ALLRP 550308 - 20] and the University of Toronto's Data Sciences Institute.
