This project consists in the implementation of a Neural Network using TensorFlow in order to calibrate the SABR model. The final goal consists in predicting a volatility surface, as described in "Deep Learning Volatility" (2019).
This project consists in the implementation of a Neural Network using TensorFlow in order to calibrate the SABR model. The final goal consists in predicting a volatility surface, as described in "Deep Learning Volatility" (2019).