8 papers
A Data-driven Market Simulator for Small Data Environments
Hans Bühler, Blanka Horvath, Terry Lyons +2
Neural network based data-driven market simulation unveils a new and flexible way of modelling financial time series without imposing assumptions on the underlying stochastic dynam…
Sig-SDEs model for quantitative finance
Imanol Perez Arribas, Cristopher Salvi, Lukasz Szpruch
Mathematical models, calibrated to data, have become ubiquitous to make key decision processes in modern quantitative finance. In this work, we propose a novel framework for data-d…
Optimal execution with rough path signatures
Jasdeep Kalsi, Terry Lyons, Imanol Perez Arribas
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price pr…
Nonparametric pricing and hedging of exotic derivatives
Terry Lyons, Sina Nejad, Imanol Perez Arribas
In the spirit of Arrow-Debreu, we introduce a family of financial derivatives that act as primitive securities in that exotic derivatives can be approximated by their linear combin…
Deep Signature Transforms
Patric Bonnier, Patrick Kidger, Imanol Perez Arribas +2
The signature is an infinite graded sequence of statistics known to characterise a stream of data up to a negligible equivalence class. It is a transform which has previously been…
Numerical method for model-free pricing of exotic derivatives using rough path signatures
Terry Lyons, Sina Nejad, Imanol Perez Arribas
We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. This is…