2 papers
cs.LG2024
Universal randomised signatures for generative time series modelling
Francesca Biagini, Lukas Gonon, Niklas Walter
Randomised signature has been proposed as a flexible and easily implementable alternative to the well-established path signature. In this article, we employ randomised signature to…
q-fin.MF2023
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models
Francesca Biagini, Lukas Gonon, Niklas Walter
We derive quantitative error bounds for deep neural networks (DNNs) approximating option prices on a -dimensional risky asset as functions of the underlying model parameters, pa…