{"id":"https://openalex.org/W4416198556","doi":"https://doi.org/10.1145/3768292.3771252","title":"Arbitrage-Free Implied Volatility Surface Smoothing via Generative Adversarial Networks","display_name":"Arbitrage-Free Implied Volatility Surface Smoothing via Generative Adversarial Networks","publication_year":2025,"publication_date":"2025-11-14","ids":{"openalex":"https://openalex.org/W4416198556","doi":"https://doi.org/10.1145/3768292.3771252"},"language":null,"primary_location":{"id":"doi:10.1145/3768292.3771252","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3768292.3771252","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 6th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5118995288","display_name":"Victor Ginart Belmonte","orcid":"https://orcid.org/0009-0003-6549-0135"},"institutions":[{"id":"https://openalex.org/I174216632","display_name":"City University of New York","ror":"https://ror.org/00453a208","country_code":"US","type":"education","lineage":["https://openalex.org/I174216632"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Victor Ginart Belmonte","raw_affiliation_strings":["Mathematics, Columbia University, New York City, USA"],"raw_orcid":"https://orcid.org/0009-0003-6549-0135","affiliations":[{"raw_affiliation_string":"Mathematics, Columbia University, New York City, USA","institution_ids":["https://openalex.org/I78577930","https://openalex.org/I174216632"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5113165490","display_name":"T. W. Cole","orcid":"https://orcid.org/0009-0006-9704-3454"},"institutions":[{"id":"https://openalex.org/I174216632","display_name":"City University of New York","ror":"https://ror.org/00453a208","country_code":"US","type":"education","lineage":["https://openalex.org/I174216632"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Thomas Cole","raw_affiliation_strings":["Mathematics, Columbia University, New York City, USA"],"raw_orcid":"https://orcid.org/0009-0006-9704-3454","affiliations":[{"raw_affiliation_string":"Mathematics, Columbia University, New York City, USA","institution_ids":["https://openalex.org/I78577930","https://openalex.org/I174216632"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5118995288"],"corresponding_institution_ids":["https://openalex.org/I174216632","https://openalex.org/I78577930"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.38437422,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"518","last_page":"524"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.1850000023841858,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.1850000023841858,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.15880000591278076,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.07680000364780426,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/smoothing","display_name":"Smoothing","score":0.8654999732971191},{"id":"https://openalex.org/keywords/adversarial-system","display_name":"Adversarial system","score":0.6590999960899353},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.599399983882904},{"id":"https://openalex.org/keywords/generative-grammar","display_name":"Generative grammar","score":0.5921000242233276},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.49239999055862427},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.40709999203681946},{"id":"https://openalex.org/keywords/noise","display_name":"Noise (video)","score":0.3686000108718872},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.3573000133037567}],"concepts":[{"id":"https://openalex.org/C3770464","wikidata":"https://www.wikidata.org/wiki/Q775963","display_name":"Smoothing","level":2,"score":0.8654999732971191},{"id":"https://openalex.org/C37736160","wikidata":"https://www.wikidata.org/wiki/Q1801315","display_name":"Adversarial system","level":2,"score":0.6590999960899353},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.599399983882904},{"id":"https://openalex.org/C39890363","wikidata":"https://www.wikidata.org/wiki/Q36108","display_name":"Generative grammar","level":2,"score":0.5921000242233276},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5727999806404114},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.49239999055862427},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4756999909877777},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.40709999203681946},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37770000100135803},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.37130001187324524},{"id":"https://openalex.org/C99498987","wikidata":"https://www.wikidata.org/wiki/Q2210247","display_name":"Noise (video)","level":3,"score":0.3686000108718872},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.3573000133037567},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.3564000129699707},{"id":"https://openalex.org/C163294075","wikidata":"https://www.wikidata.org/wiki/Q581861","display_name":"Noise reduction","level":2,"score":0.33719998598098755},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3098999857902527},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.29440000653266907},{"id":"https://openalex.org/C2781170535","wikidata":"https://www.wikidata.org/wiki/Q30587856","display_name":"Noisy data","level":2,"score":0.2919999957084656},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.28540000319480896},{"id":"https://openalex.org/C2988773926","wikidata":"https://www.wikidata.org/wiki/Q25104379","display_name":"Generative adversarial network","level":3,"score":0.2851000130176544},{"id":"https://openalex.org/C99844830","wikidata":"https://www.wikidata.org/wiki/Q102441924","display_name":"Scaling","level":2,"score":0.2840000092983246},{"id":"https://openalex.org/C2778755073","wikidata":"https://www.wikidata.org/wiki/Q10858537","display_name":"Scale (ratio)","level":2,"score":0.28040000796318054},{"id":"https://openalex.org/C139945424","wikidata":"https://www.wikidata.org/wiki/Q1940696","display_name":"Mean squared error","level":2,"score":0.27810001373291016},{"id":"https://openalex.org/C108583219","wikidata":"https://www.wikidata.org/wiki/Q197536","display_name":"Deep learning","level":2,"score":0.26409998536109924},{"id":"https://openalex.org/C160920958","wikidata":"https://www.wikidata.org/wiki/Q7662746","display_name":"Synthetic data","level":2,"score":0.26100000739097595}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3768292.3771252","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3768292.3771252","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 6th ACM International Conference on AI in Finance","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W1490317490","https://openalex.org/W2064978316","https://openalex.org/W2103975365","https://openalex.org/W2112796928","https://openalex.org/W2119074269","https://openalex.org/W2182451357","https://openalex.org/W2329986772","https://openalex.org/W4206419526","https://openalex.org/W4233014035","https://openalex.org/W4408238689"],"related_works":[],"abstract_inverted_index":{"Implied":[0],"volatility":[1,75,167],"surfaces":[2,76,86,168],"play":[3],"a":[4,18,61,159],"fundamental":[5],"role":[6],"in":[7,105,140],"the":[8,113,116,122,146],"pricing":[9],"and":[10,45,101,121,143,151,161],"risk":[11],"management":[12],"of":[13,20],"financial":[14],"derivatives.":[15],"However,":[16],"as":[17,158],"result":[19],"estimation":[21],"noise,":[22],"they":[23],"often":[24],"contain":[25],"arbitrage":[26,79],"violations":[27],"which":[28],"need":[29,47],"to":[30,33,42,48,52,72,98],"be":[31,49],"corrected":[32],"allow":[34],"for":[35,164],"effective":[36],"pricing.":[37],"Traditional":[38],"smoothing":[39,138],"techniques":[40,139],"struggle":[41],"scale":[43],"efficiently":[44],"usually":[46],"manually":[50],"re-fitted":[51],"enforce":[53],"no-arbitrage":[54],"conditions.":[55],"In":[56],"this":[57],"paper,":[58],"we":[59,92],"propose":[60],"novel":[62],"deep":[63],"learning":[64],"framework":[65],"that":[66,94,125,132],"utilizes":[67],"Generative":[68],"Adversarial":[69],"Networks":[70],"(GANs)":[71],"smooth":[73],"implied":[74,166],"while":[77],"enforcing":[78],"constraints.":[80],"Our":[81],"approach":[82,135],"transforms":[83],"noisy,":[84],"arbitrage-violating":[85],"into":[87],"smooth,":[88],"arbitrage-free":[89],"surfaces.":[90],"Furthermore,":[91],"demonstrate":[93,131],"our":[95,133],"model":[96],"generalizes":[97],"data":[99],"out-of-sample":[100],"offers":[102],"significant":[103],"improvements":[104],"computational":[106],"performance":[107],"over":[108],"traditional":[109,137],"methods.":[110],"We":[111],"describe":[112],"GAN":[114],"architecture,":[115],"synthetic":[117],"noise":[118],"generation":[119],"process,":[120],"training":[123],"strategy":[124],"enables":[126],"these":[127],"capabilities.":[128],"Experimental":[129],"results":[130],"GAN-based":[134],"outperforms":[136],"both":[141],"accuracy":[142],"speed,":[144],"achieving":[145],"lowest":[147],"mean":[148],"squared":[149],"error":[150],"runtime.":[152],"These":[153],"findings":[154],"highlight":[155],"its":[156],"potential":[157],"fast":[160],"reliable":[162],"solution":[163],"denoising":[165],"at":[169],"scale.":[170]},"counts_by_year":[],"updated_date":"2025-11-28T07:34:54.168659","created_date":"2025-11-14T00:00:00"}
