3 papers
math.OC2026
Signature Methods for Optimal Market Making
Alberto Gennaro, Thibaut Mastrolia, Francesca Primavera
We propose a signature-based method to solve the optimal market-making problem under a mean-variance criterion. By exploiting signature linearization techniques, we reduce the mark…
math.PR2025
Functional Itô-formula and Taylor expansions for non-anticipative maps of càdlàg rough paths
Christa Cuchiero, Xin Guo, Francesca Primavera
We derive a functional Itô-formula for non-anticipative maps of rough paths, based on the approximation properties of the signature of càdlàg rough paths. This result is a function…
math.PR2024
Holomorphic jump-diffusions
Christa Cuchiero, Francesca Primavera, Sara Svaluto-Ferro
We introduce a class of jump-diffusions, called holomorphic, of which the well-known classes of affine and polynomial processes are particular instances. The defining property conc…