Signature-Based Models: Theory and Calibration
DOI10.1137/22m1512338zbMath1522.91310arXiv2207.13136OpenAlexW4385951734MaRDI QIDQ6048449
Unnamed Author, Sara Svaluto-Ferro, Christa Cuchiero
Publication date: 14 September 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2207.13136
Monte Carlo methodspolynomial processessignature methodscalibration of financial modelslinear (infinite dimensional) systems
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic models in economics (91B70)
Cites Work
- Unnamed Item
- Unnamed Item
- The signature of a rough path: uniqueness
- Polynomial diffusions and applications in finance
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- On a Chen-Fliess approximation for diffusion functionals
- Discretization of processes.
- Polynomial processes and their applications to mathematical finance
- Integration of paths, geometric invariants and a generalized Baker-Hausdorff formula
- Lie elements and an algebra associated with shuffles
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Expected signature of Brownian motion up to the first exit time from a bounded domain
- Differential equations driven by rough signals
- A general version of the fundamental theorem of asset pricing
- Canonical RDEs and general semimartingales as rough paths
- Functional quantization of Gaussian processes
- Infinite-dimensional polynomial processes
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula
- Fourier-Malliavin Volatility Estimation
- Cubature on Wiener space
- Functional quantization for numerics with an application to option pricing
- Multidimensional Stochastic Processes as Rough Paths
- Iterated path integrals
- Kernels for sequentially ordered data
- Financial Modelling with Jump Processes
- Non-parametric Pricing and Hedging of Exotic Derivatives
- The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- Short Communication: Projection of Functionals and Fast Pricing of Exotic Options
- Optimal Execution with Rough Path Signatures
- Algorithm 1004
- Cumulants, free cumulants and half-shuffles
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Unified signature cumulants and generalized Magnus expansions
- Optimal stopping with signatures
This page was built for publication: Signature-Based Models: Theory and Calibration
