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janka-moeller's repositories

joint_calib_SPX_VIX

Codes used for "Joint calibration to SPX and VIX options with signature-based models" by Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro

Language:Python2 10

Sig-SPT

Code for article "Signature Methods in Stochastic Portfolio Theory"

Language:Python1 10