10 citations · 13 across the 2 of their papers we have counts for
Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2022★ 10 cited
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…
q-fin.CP2020★ 3 cited
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…