  We construct realistic spot and equity option market simulators for a single
underlying on the basis of normalizing flows. We address the
high-dimensionality of market observed call prices through an arbitrage-free
autoencoder that approximates efficient low-dimensional representations of the
prices while maintaining no static arbitrage in the reconstructed surface.
Given a multi-asset universe, we leverage the conditional invertibility
property of normalizing flows and introduce a scalable method to calibrate the
joint distribution of a set of independent simulators while preserving the
dynamics of each simulator. Empirical results highlight the goodness of the
calibrated simulators and their fidelity.
