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math.PR2023★ 5 cited
Signature SDEs from an affine and polynomial perspective
Christa Cuchiero, Sara Svaluto-Ferro, Josef Teichmann
Signature stochastic differential equations (SDEs) constitute a large class of stochastic processes, here driven by Brownian motions, whose characteristics are linear maps of their…
q-fin.MF2023★ 2 cited
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…