12 papers · 1 filter
Signature approach for pricing and hedging path-dependent options with frictions
Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte
We introduce a novel signature approach for pricing and hedging path-dependent options with instantaneous and permanent market impact under a mean-quadratic variation criterion. Le…
Efficient Simulation of Hawkes Processes using their Affine Volterra Structure
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We introduce a novel and efficient simulation scheme for Hawkes processes on a fixed time grid, leveraging their affine Volterra structure. The key idea is to first simulate the in…
Hedging with memory: shallow and deep learning with signatures
Eduardo Abi Jaber, Louis-Amand Gérard
We investigate the use of path signatures in a machine learning context for hedging exotic derivatives under non-Markovian stochastic volatility models. In a deep learning setting,…
Exponentially Fading Memory Signature
Eduardo Abi Jaber, Dimitri Sotnikov
We introduce the exponentially fading memory (EFM) signature, a time-invariant transformation of an infinite (possibly rough) path that serves as a mean-reverting analogue of the c…
Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
Eduardo Abi Jaber, Elie Attal
We introduce a novel simulation scheme, iVi (integrated Volterra implicit), for integrated Volterra square-root processes and Volterra Heston models based on the Inverse Gaussian d…
Fredholm Approach to Nonlinear Propagator Models
Eduardo Abi Jaber, Alessandro Bondi, Nathan De Carvalho +2
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, includin…