5 citations · 15 across the 9 of their papers we have counts for
4 papers · 1 filter
Local signature-based expansions
Federico M. Bandi, Roberto Renò, Sara Svaluto-Ferro
We study the local (in time) expansion of a continuous-time process and its conditional moments, including the process' characteristic function. The expansions are conducted by usi…
Joint calibration to SPX and VIX options with signature-based models
Christa Cuchiero, Guido Gazzani, Janka Möller +1
We consider a stochastic volatility model where the dynamics of the volatility are described by a linear function of the (time extended) signature of a primary process which is sup…
Measure-valued processes for energy markets
Christa Cuchiero, Luca Di Persio, Francesco Guida +1
We introduce a framework that allows to employ (non-negative) measure-valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the p…
Signature-based models: theory and calibration
Christa Cuchiero, Guido Gazzani, Sara Svaluto-Ferro
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inf…