5 citations · 15 across the 7 of their papers we have counts for
3 papers · 1 filter
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…
Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
Christa Cuchiero, Francesca Primavera, Sara Svaluto-Ferro
We prove a universal approximation theorem that allows to approximate continuous functionals of càdlàg (rough) paths uniformly in time and on compact sets of paths via linear funct…
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…