Signature-Based Models: Theory and Calibration-Reference-Cited by-同舟云学术

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Signature-Based Models: Theory and Calibration

Published:2023-08-17 Issue:3 Volume:14 Page:910-957
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Cuchiero Christa¹,Gazzani Guido²^ORCID,Svaluto-Ferro Sara³

Affiliation:

1. Department of Statistics and Operations Research, Data Science Unit Vienna, Vienna University, A-1090 Wien, Austria.

2. Department of Statistics and Operations Research, Vienna University, A-1090 Wien, Austria.

3. Department of Economics, University of Verona, 37129 Verona, Italy.

Funder

Austrian Science Fund

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference48 articles.

1. Volatility and volatility-linked derivatives: estimation, modeling, and pricing

2. Optimal stopping with signatures

3. The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

4. The signature of a rough path: Uniqueness

5. Integration of Paths, Geometric Invariants and a Generalized Baker- Hausdorff Formula

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1. Joint calibration to SPX and VIX options with signature‐based models;Mathematical Finance;2024-07-31

2. Securing Networks in the Digital Age: A Review of Intrusion Detection and Prevention Strategies;International Journal of Innovative Science and Research Technology (IJISRT);2024-07-13

3. Intrusion Detection for Encrypted Flows Using Single Feature Based on Graph Integration Theory;IEEE Internet of Things Journal;2024-05-15

4. Signature-based validation of real-world economic scenarios;ASTIN Bulletin;2024-04-04

5. The rough Hawkes Heston stochastic volatility model;Mathematical Finance;2024-03-02

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