50 citations · 61 across the 4 of their papers we have counts for
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q-fin.CP2018★ 11 cited
Derivatives pricing using signature payoffs
Imanol Perez Arribas
We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these deriva…
stat.ML2018
Labelling as an unsupervised learning problem
Terry Lyons, Imanol Perez Arribas
Unravelling hidden patterns in datasets is a classical problem with many potential applications. In this paper, we present a challenge whose objective is to discover nonlinear rela…