3 citations · 3 across the 3 of their papers we have counts for
3 papers
stat.ML2025
Hedging with memory: shallow and deep learning with signatures
Eduardo Abi Jaber, Louis-Amand Gérard
We investigate the use of path signatures in a machine learning context for hedging exotic derivatives under non-Markovian stochastic volatility models. In a deep learning setting,…
math.PR2024
Path-dependent processes from signatures
Eduardo Abi Jaber, Louis-Amand Gérard, Yuxing Huang
We provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our fram…
q-fin.PR2024★ 3 cited
Signature volatility models: pricing and hedging with Fourier
Eduardo Abi Jaber, Louis-Amand Gérard
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of…