Search Results for author: Thibault Vatter

Found 7 papers, 5 papers with code

Marginalizable Density Models

1 code implementation8 Jun 2021 Dar Gilboa, Ari Pakman, Thibault Vatter

Probability density models based on deep networks have achieved remarkable success in modeling complex high-dimensional datasets.

Density Estimation Imputation

Deep Smoothing of the Implied Volatility Surface

no code implementations NeurIPS 2020 Damien Ackerer, Natasa Tagasovska, Thibault Vatter

Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other financial instruments.

Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders

1 code implementation NeurIPS 2019 Natasa Tagasovska, Damien Ackerer, Thibault Vatter

We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure.

Generative Models for Simulating Mobility Trajectories

no code implementations30 Nov 2018 Vaibhav Kulkarni, Natasa Tagasovska, Thibault Vatter, Benoit Garbinato

We also include two sample tests to assess statistical similarity between the observed and simulated distributions, and we analyze the privacy tradeoffs with respect to membership inference and location-sequence attacks.

Semantic Similarity Semantic Textual Similarity

Generalized Additive Models for Pair-Copula Constructions

2 code implementations4 Aug 2016 Thibault Vatter, Thomas Nagler

Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks.

Methodology

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