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Sentiment-Driven Stochastic Volatility Model
The dataset contains high-frequency news sentiment and volatility of the S&P 500. -
Hedging Cryptocurrency options
The dataset contains Bitcoin price history from April 2019 to June 2020, with daily returns, volatility, and jump sizes. -
Synthetic Financial Data
The dataset used in the paper is a set of synthetic financial data, including option prices, underlying asset prices, strike prices, expiration times, risk-free interest rates,... -
Interpolation of Missing Swaption Volatility Data using Variational Autoencoders
Daily (Bachelier model implied) swaption volatility cubes of European LIBOR swaptions
