3 papers
cs.LG2026
Online Learning of Scale Parameters in Score-Driven Filters
Fabrizio Lillo, Giulia Livieri, Gianluca Palmari
Score-driven filters update a time-varying parameter by multiplying a scaled log-likelihood score by a scale parameter that controls the magnitude of the update. We name this scale…
math.ST2026
Proper-score observation-driven filters: local geometry, estimation, and continuous-time limits
Giulia Livieri, Gianluca Palmari
Observation-driven filters update a time-varying parameter with the likelihood score, linking the recursion to the logarithmic scoring rule. We replace this update with the negativ…
q-fin.PR2025
Machine-learning regression methods for American-style path-dependent contracts
Matteo Gambara, Giulia Livieri, Andrea Pallavicini
Evaluating financial products with early-termination clauses, in particular those with path-dependent structures, is challenging. This paper focuses on Asian options, look-back opt…