50 citations · 159 across the 31 of their papers we have counts for
4 papers · 1 filter
Neural Rough Differential Equations for Long Time Series
James Morrill, Cristopher Salvi, Patrick Kidger +2
Neural controlled differential equations (CDEs) are the continuous-time analogue of recurrent neural networks, as Neural ODEs are to residual networks, and offer a memory-efficient…
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…
The Signature Kernel is the solution of a Goursat PDE
Cristopher Salvi, Thomas Cass, James Foster +2
Recently, there has been an increased interest in the development of kernel methods for learning with sequential data. The signature kernel is a learning tool with potential to han…
Distribution Regression for Sequential Data
Maud Lemercier, Cristopher Salvi, Theodoros Damoulas +2
Distribution regression refers to the supervised learning problem where labels are only available for groups of inputs instead of individual inputs. In this paper, we develop a rig…