Candidate point selection using a self-attention mechanism for generating a smooth volatility surface under the SABR model

2021 ◽  
Vol 173 ◽  
pp. 114640
Author(s):  
Hyeonuk Kim ◽  
Kyunghyun Park ◽  
Junkee Jeon ◽  
Changhoon Song ◽  
Jungwoo Bae ◽  
...  
Keyword(s):  
Attention Mechanism ◽  
Point Selection ◽  
Sabr Model ◽  
Volatility Surface ◽  
Candidate Point

scholarly journals ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE

2020 ◽  
pp. 1-33
Author(s):  
Dan Pirjol ◽  
Lingjiong Zhu
Keyword(s):  
Implied Volatility ◽  
Time Discretization ◽  
Stochastic Volatility Model ◽  
Asymptotic Results ◽  
Time Model ◽  
Implied Volatility Surface ◽  
Volatility Model ◽  
Sabr Model ◽  
Volatility Surface ◽  
Log Normal

Abstract We propose a novel time discretization for the log-normal SABR model which is a popular stochastic volatility model that is widely used in financial practice. Our time discretization is a variant of the Euler–Maruyama scheme. We study its asymptotic properties in the limit of a large number of time steps under a certain asymptotic regime which includes the case of finite maturity, small vol-of-vol and large initial volatility with fixed product of vol-of-vol and initial volatility. We derive an almost sure limit and a large deviations result for the log-asset price in the limit of a large number of time steps. We derive an exact representation of the implied volatility surface for arbitrary maturity and strike in this regime. Using this representation, we obtain analytical expansions of the implied volatility for small maturity and extreme strikes, which reproduce at leading order known asymptotic results for the continuous time model.

An Attention Mechanism Extension of Automatic HTML Generation from Web Page Design Images

2020 ◽  
Vol 140 (12) ◽  
pp. 1393-1401
Author(s):  
Hiroki Chinen ◽  
Hidehiro Ohki ◽  
Keiji Gyohten ◽  
Toshiya Takami
Keyword(s):  
Attention Mechanism ◽  
Web Page ◽  
Web Page Design ◽  
Page Design

Novel Access-Point Selection for User QoS and System Optimization Based on User Cooperative Moving

2012 ◽  
Vol E95.B (6) ◽  
pp. 1953-1964 ◽  
Author(s):  
Sumiko MIYATA ◽  
Tutomu MURASE ◽  
Katsunori YAMAOKA
Keyword(s):  
Access Point ◽  
System Optimization ◽  
Point Selection ◽  
Selection For

Linking caplets and swaptions prices in the LMM-SABR model

2009 ◽  
Vol 13 (2) ◽  
pp. 19-45 ◽  
Author(s):  
Riccardo Rebonato ◽  
Richard White
Keyword(s):  
Sabr Model

Sensible Sensitivities for the SABR Model

2009 ◽  
Author(s):  
Messaoud Chibane ◽  
Hong Miao ◽  
Chenghai Xu
Keyword(s):  
Sabr Model
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