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Interpolation of Missing Swaption Volatility Data using Gibbs Sampling on Variational Autoencoders
In this case, standard stochastic interpolation tools like the common SABR model often cannot be calibrated to observed implied volatility smiles, due to data being only available for the at-the-money quote of the respective underlying swaption.
Estimating the Value-at-Risk by Temporal VAE
Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions.
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