50 citations · 61 across the 4 of their papers we have counts for
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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…