# Volatility Surface Reconstruction using Deep Learning under No-Arbitrage Constraints

arXiv: https://arxiv.org/abs/2605.24031 · HTML: https://mlsanity.com/paper/2605.24031/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 5 of its 40 references that are in the map.
- First posted on arXiv 20 May 2026.

## Builds on (most cited first, 5 of 5)

- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Layer Normalization](https://mlsanity.com/paper/1607.06450/) (2016)
- [Auto-Encoding Variational Bayes](https://mlsanity.com/paper/1312.6114/) (2013)
- [Gaussian Error Linear Units (GELUs)](https://mlsanity.com/paper/1606.08415/) (2016)
- [Encoding Power Traces as Images for Efficient Side-Channel Analysis](https://mlsanity.com/paper/2004.11015/) (2020)

## Abstract (arXiv)

We study the reconstruction of implied volatility surfaces from sparse and noisy option quotes using deep learning models under no-arbitrage constraints. We compare multiple neural architectures, including multilayer perceptrons, convolutional networks, U-Nets, variational autoencoders, and Transformer-based models against classical SVI parameterizations on option market data. Results show that Transformer and U-Net architectures achieve strong reconstruction accuracy, particularly under sparse observation regimes, while soft arbitrage penalties significantly reduce arbitrage violations with moderate impact on reconstruction error. We further analyze the trade-off between accuracy and arbitrage consistency across architectures and regularization strengths.