Generative Financial Modelling for Crypto Risk Management

• Research unit: INNOSUISSE
• Project number: 134.132 INNO-ICT

Key words (English)

ICT, Machine learning

Abstract (English)

We focus on emerging crypto markets, where derivative markets are relatively developed but historical data is scarce. We aim to generate realistic, arbitrage-free synthetic time series (spot + volatility surface) to enable robust hedging of portfolios and laying the foundation for ML techniques.