Signature-based volatility modeling via rough paths offers a model-agnostic calibration alternative that achieves accuracy comparable to or better than analytical expansions in both Markovian and non-Markovian settings.
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Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
Signature-based volatility modeling via rough paths offers a model-agnostic calibration alternative that achieves accuracy comparable to or better than analytical expansions in both Markovian and non-Markovian settings.