Generative Financial Modelling for Crypto Risk Management

• Unité de recherche: INNOSUISSE
• Numéro de projet: 134.132 INNO-ICT
• Titre du projet anglais: Generative Financial Modelling for Crypto Risk Management

Mots-clé (Anglais)

ICT, Machine learning

Résumé des résultats (Abstract) (Anglais)

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.