2 citations · 2 across the 4 of their papers we have counts for
4 papers
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…
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…
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…
Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
Christa Cuchiero, Francesca Primavera, Sara Svaluto-Ferro
We prove a universal approximation theorem that allows to approximate continuous functionals of càdlàg (rough) paths uniformly in time and on compact sets of paths via linear funct…