预测波动面的物理信息卷积变换器

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-01-09 DOI:10.1080/14697688.2023.2294799

Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee, Youngjoon Hong

引用次数: 0

摘要

预测波动率对于资产预测、期权定价和对冲策略非常重要，因为波动率无法在金融市场上直接观测到。波动率表面的动态...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Physics-informed convolutional transformer for predicting volatility surface

Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The dynamics of the volatility surface...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.