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q-fin.MF2026
Liquidity Provision and Rebate Design in Option Markets
Samuel N. Cohen, Lyndon Drake, Zihan Guo +1
We provide a model for the nested optimisation problem of market making and rebate design problems in option markets and find optimal strategies. A single market maker trades multi…
stat.ML2026
Extending SSMs with the Exponentially Weighted Signature
Alexandre Bloch, Samuel N. Cohen, Terry Lyons +3
We introduce the exponentially weighted signature (EWS), a continuous-time model that computes iterated integrals of a path, where each increment is weighted by the matrix exponent…