10 citations · 13 across the 2 of their papers we have counts for
3 papers
Randomized Signature Methods in Optimal Portfolio Selection
Erdinc Akyildirim, Matteo Gambara, Josef Teichmann +1
We present convincing empirical results on the application of Randomized Signature Methods for non-linear, non-parametric drift estimation for a multi-variate financial market. Eve…
Applications of Signature Methods to Market Anomaly Detection
Erdinc Akyildirim, Matteo Gambara, Josef Teichmann +1
Anomaly detection is the process of identifying abnormal instances or events in data sets which deviate from the norm significantly. In this study, we propose a signatures based ma…
Consistent Recalibration Models and Deep Calibration
Matteo Gambara, Josef Teichmann
Consistent Recalibration models (CRC) have been introduced to capture in necessary generality the dynamic features of term structures of derivatives' prices. Several approaches hav…