Signature-Based Models: Theory and Calibration

DOI10.1137/22m1512338zbMath1522.91310arXiv2207.13136OpenAlexW4385951734MaRDI QIDQ6048449

Unnamed Author, Sara Svaluto-Ferro, Christa Cuchiero

Publication date: 14 September 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.13136

zbMATH Keywords

Monte Carlo methodspolynomial processessignature methodscalibration of financial modelslinear (infinite dimensional) systems

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic models in economics (91B70)

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