4 papers
Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
Owen Futter, Blanka Horvath, Magnus Wiese
In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies…
Non-adversarial training of Neural SDEs with signature kernel scores
Zacharia Issa, Blanka Horvath, Maud Lemercier +1
Neural SDEs are continuous-time generative models for sequential data. State-of-the-art performance for irregular time series generation has been previously obtained by training th…
Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach
Blanka Horvath, Maud Lemercier, Chong Liu +2
Distribution Regression on path-space refers to the task of learning functions mapping the law of a stochastic process to a scalar target. The learning procedure based on the notio…
On the probability of hitting the boundary for Brownian motions on the SABR plane
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which c…