Establishes existence, uniqueness, NFLVR, completeness via signature span density, and hedging-error decomposition for signature SDEs under summability and exponential-integrability conditions.
Martingale property and moment explosions in signature volatility models
3 Pith papers cite this work. Polarity classification is still indexing.
3
Pith papers citing it
years
2026 3verdicts
UNVERDICTED 3representative citing papers
Algebraic Malliavin calculus on Brownian signatures yields closed-form operators and tractable Greeks for path-dependent options under signature volatility.
Signature linearization reduces optimal market making to pseudo-linear optimization over expected signatures of augmented paths, with Sig-REINFORCE algorithm learning bid/ask quotes and outperforming PPO on Poisson and Hawkes arrival models.
citing papers explorer
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On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
Establishes existence, uniqueness, NFLVR, completeness via signature span density, and hedging-error decomposition for signature SDEs under summability and exponential-integrability conditions.
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Malliavin calculus for signatures with applications to finance
Algebraic Malliavin calculus on Brownian signatures yields closed-form operators and tractable Greeks for path-dependent options under signature volatility.
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Signature Methods for Optimal Market Making
Signature linearization reduces optimal market making to pseudo-linear optimization over expected signatures of augmented paths, with Sig-REINFORCE algorithm learning bid/ask quotes and outperforming PPO on Poisson and Hawkes arrival models.