4 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.MF2023★ 4 cited
Signature Methods in Stochastic Portfolio Theory
Christa Cuchiero, Janka Möller
In the context of stochastic portfolio theory we introduce a novel class of portfolios which we call linear path-functional portfolios. These are portfolios which are determined by…
q-fin.MF2023★ 2 cited
Joint calibration to SPX and VIX options with signature-based models
Christa Cuchiero, Guido Gazzani, Janka Möller +1
We consider a stochastic volatility model where the dynamics of the volatility are described by a linear function of the (time extended) signature of a primary process which is sup…