ICML2025

HyperIV: Real-time Implied Volatility Smoothing

Yongxin Yang, Wenqi Chen, Chao Shu, Timothy M. Hospedales

摘要

We propose HyperIV, a novel approach for realtime implied volatility smoothing that eliminates the need for traditional calibration procedures. Our method employs a hypernetwork to generate parameters for a compact neural network that constructs complete volatility surfaces within 2 milliseconds, using only 9 market observations. Moreover, the generated surfaces are guaranteed to be free of static arbitrage. Extensive experiments across 8 index options demonstrate that HyperIV achieves superior accuracy compared to existing methods while maintaining computational efficiency. The model also exhibits strong cross-asset generalization capabilities, indicating broader applicability across different market instruments. These key features -rapid adaptation to market conditions, guaranteed absence of arbitrage, and minimal data requirementsmake HyperIV particularly valuable for real-time trading applications. We make code available at https://github.com/qmfin/hyperiv .