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Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the complex statistical properties of the real financial data. We introduce two generative adversarial networks (GANs), which utilize the convolutional networks with attention and the transformers, for financial time series simulation. The GANs learn the statistical properties in a data-driven manner and the attention mechanism helps to replicate the long-range dependencies. The proposed GANs are tested on the S&P 500 index and option data, examined by scores based on the stylized facts and are compared with the pure convolutional GAN, i.e. QuantGAN. The attention-based GANs not only reproduce the stylized facts, but also smooth the autocorrelation of returns.

We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained to satisfy the PDE as well as the boundary conditions. Two singular terms are added to the neural networks to deal with the non-smooth and discontinuous payoff at the strike and barrier levels so that the neural networks can replicate the asymptotic behaviors of barrier options at short maturities. After that, vanilla options and barrier options are priced in a single framework. Also, neural networks are employed to deal with the high dimensionality of the function input in the Bergomi model. Once trained, the neural network solution yields fast and accurate option values.

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