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IAQF & Thalesians Webinar Series: Multi-Asset Option Market Simulation. A Webinar by Magnus Wiese

  • 08 Mar 2022
  • 12:30 PM - 2:00 PM (EST)
  • Zoom Webinar

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Abstract:

We first address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that approximates efficient low-dimensional representations of the prices while maintaining no static arbitrage in the reconstructed surface. We then construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. For a multi-asset universe, we leverage the conditional invertibility property of normalizing flows and introduce a scalable method to calibrate the joint distribution of a set of independent simulators while preserving the dynamics of each simulator. Empirical results highlight the goodness of the calibrated simulators and their fidelity.

Bio:

Magnus Wiese is a Quantitative Research Associate at JP Morgan Chase and a PhD Candidate at University of Kaiserslautern supervised by Ralf Korn.