Arbitrage-Aware Multi-Step Forecasting of Implied Volatility Surfaces: Modelling Surface Trajectories Using Latent Diffusion

By Dominik Manuel Buchegger, Lukas Gonon

Published 2026-08-23

Everscope rating

1887

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Conditional Latent Diffusion with Arbitrage-Aware Autoencoder. Problem types: Time Series Forecasting, Generative Modeling, Dimensionality Reduction, Probabilistic Forecasting, Trajectory Generation, Structured Prediction.

arXiv:2608.22478 · Code · Paper rankings

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