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Signature-Based Models: Theory and Calibration
16 references·1 citing·38 second hop
Signature-Based Models: Theory and Calibration (2023)Signature-Based Models: Theory and Calibr…Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Empirical analysis of rough a…A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models (2020)A Generative Adversarial Netw…The signature of a rough path: Uniqueness (2016)The signature of a rough path…Polynomial diffusions and applications in finance (2016)Polynomial diffusions and app…Polynomial processes and their applications to mathematical finance (2012)Polynomial processes and thei…Multidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Recovering volatility from option prices by evolutionary optimization (2005)Recovering volatility from op…Functional quantization for numerics with an application to option pricing (2005)Functional quantization for n…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Differential equations driven by rough signals (1998)Differential equations driven…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stochastic Differential Equations (1992)Stochastic Differential Equat…From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)From Constant to Rough: A Sur…Limit Theorems for Stochastic Processes (1987)Option valuation using the fast Fourier transform (1999)Post-'87 crash fears in the S&P 500 futures option market (2000)Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit (2013)Density Approximations for Multivariate Affine Jump-Diffusion Processes (2016)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Introduction to stochastic differential equations (1988)Stochastic Integration and Differential Equations (1990)Stochastic differential equations and their applications (1997)Gamma expansion of the Heston stochastic volatility model (2009)A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (2015)Stochastic Differential Equations and Diffusion Processes (1983)Densities for rough differential equations under Hörmander’s condition (2010)Smoothness of the density for solutions to Gaussian rough differential equations (2014)Averaging along irregular curves and regularisation of ODEs (2016)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Differential equations driven by fractional Brownian motion (2002)Controlling rough paths (2004)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)Uniqueness for the signature of a path of bounded variation and the reduced path group (2010)A Wong-Zakai theorem for stochastic PDEs (2015)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
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  • 2020A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models64 cited

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2022
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
56 cited

Cited by

  • 2023From Constant to Rough: A Survey of Continuous Volatility Modeling24 cited