signature-methods

There are 0 repository under signature-methods topic.

• GuidoGazzani-ai / sigsde_calibration

  Code for "Signature-based models: theory and calibration"

  affine-and-polynomial-processessignature-methodscalibrationoption-pricingsignatures
  Language:Jupyter Notebook 2

• janka-moeller / 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

  calibrationfinancial-modelingjoint-calibrationsignature-methodsspxvixpolynomial-processes
  Language:Python 2

• GuidoGazzani-ai / jointcalib_sigsde

  Code for "Joint calibration to SPX and VIX options with signature-based models"

  calibrationsignaturessignature-methodsaffine-and-polynomial-processesjoint-calibrationoption-pricing
  Language:Python 1

• janka-moeller / Sig-SPT

  Code for article "Signature Methods in Stochastic Portfolio Theory"

  machine-learningmathematical-financeoptimizationportfolio-optimizationsignature-methods
  Language:Python 1