3 papers
q-fin.MF2026
Option pricing under non-Markovian stochastic volatility models: A deep signature approach
Jingtang Ma, Xianglin Wu, Wenyuan Li
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face signi…
cs.LG2026
SigMA: Path Signatures and Multi-head Attention for Learning Parameters in fBm-driven SDEs
Xianglin Wu, Chiheb Ben Hammouda, Cornelis W. Oosterlee
Stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm) are increasingly used to model systems with rough dynamics and long-range dependence, such as th…
q-fin.TR2025
Trading Graph Neural Network
Xian Wu
This paper proposes a new algorithm -- Trading Graph Neural Network (TGNN) that can structurally estimate the impact of asset features, dealer features and relationship features on…