SABR-informed multitask Gaussian process: A synthetic-to-real framework for implied volatility surface construction

doi:10.1016/j.jocs.2026.102818

SABR-informed multitask Gaussian process: A synthetic-to-real framework for implied volatility surface construction

2026-02-23

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DOI：10.1016/j.jocs.2026.102818

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Abstract

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• Demonstrate improved IVS reconstruction under sparse quotes. • Introduce a framework integrating theory-based structure into a data-driven model. • Introduce an adaptive information transfer mechanism using task embeddings.

Keywords:

Implied Volatility Surface

Gaussian Process

Multitask Learning

Adaptive Information Transfer

Synthetic-to-Real Framework

SABR-informed multitask Gaussian process: A synthetic-to-real framework for implied volatility surface construction

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