4 citations · 8 across the 11 of their papers we have counts for
12 papers
An Elementary Proof of the Hambly-Lyons Uniqueness Theorem
Josef Teichmann, Walter Schachermayer, Valentin Tissot-Daguette
We give a self-contained proof, in the bounded variation setting, of the Hambly--Lyons uniqueness theorem, which states that (total) signature identifies the path up to tree-like e…
Pricing with Passion: The Local Occupied Volatility (LOV) Model
Valentin Tissot-Daguette
We introduce the Local Occupied Volatility (LOV) model that sits between Dupire's local volatility and fully path-dependent dynamics. By design, the LOV model ensures automatic cal…
Cylindrical Projections of Occupied Diffusions
Valentin Tissot-Daguette, Xin Zhang
Occupied diffusions offer a Markovian framework for path-dependent dynamics by lifting the state space with a flow of occupation measures. Because this additional feature is infini…
Bid--Ask Martingale Optimal Transport
Bryan Liang, Marcel Nutz, Shunan Sheng +1
Martingale Optimal Transport (MOT) provides a framework for robust pricing and hedging of illiquid derivatives. Classical MOT enforces exact calibration of model marginals to the m…
Controlled Occupied Processes and Viscosity Solutions
H. Mete Soner, Valentin Tissot-Daguette, Jianfeng Zhang
We consider the optimal control of occupied processes which record all positions of the state process. Dynamic programming yields nonlinear equations on the space of positive measu…
Occupied Processes: Going with the Flow
Valentin Tissot-Daguette
A stochastic process becomes occupied when it is enlarged with its occupation flow that tracks the time spent by the path at each level. When is Markov, the o…
Deep Level-set Method for Stefan Problems
Mykhaylo Shkolnikov, H. Mete Soner, Valentin Tissot-Daguette
We propose a level-set approach to characterize the region occupied by the solid in Stefan problems with and without surface tension, based on their recent probabilistic reformulat…
Stopping Times of Boundaries: Relaxation and Continuity
H. Mete Soner, Valentin Tissot-Daguette
We study the properties of the free boundaries and the corresponding hitting times in the context of optimal stopping in discrete time. We first prove the continuity of the map fro…
Functional Expansions
Bruno Dupire, Valentin Tissot-Daguette
Path dependence is omnipresent in many disciplines such as engineering, system theory and finance. It reflects the influence of the past on the future, often expressed through func…
Deep Stochastic Optimization in Finance
A. Max Reppen, H. Mete Soner, Valentin Tissot-Daguette
This paper outlines, and through stylized examples evaluates a novel and highly effective computational technique in quantitative finance. Empirical Risk Minimization (ERM) and neu…
Neural Optimal Stopping Boundary
A. Max Reppen, H. Mete Soner, Valentin Tissot-Daguette
A method based on deep artificial neural networks and empirical risk minimization is developed to calculate the boundary separating the stopping and continuation regions in optimal…
Projection of Functionals and Fast Pricing of Exotic Options
Valentin Tissot-Daguette
We investigate the approximation of path functionals. In particular, we advocate the use of the Karhunen-Loève expansion, the continuous analogue of Principal Component Analysis, t…