Time-augmented Brownian signatures admit entire signature expansions of conditional Fourier-Laplace transforms and local Riccati expansions of their logs, with global recovery via recentered randomized Riccati equations.
Pricing American options under rough volatility using deep-signatures and signature-kernels
3 Pith papers cite this work. Polarity classification is still indexing.
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The Volterra signature is a kernel-weighted tensor feature map for paths that is injective, universally approximating, and computable via linear ODEs or a two-parameter integral equation.
A deep signature LSMC method prices variable annuities with surrender in non-Markovian rough Heston and Volterra models, with fair fees increasing in Hurst parameters.
citing papers explorer
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Affine Structure of the Brownian Signature
Time-augmented Brownian signatures admit entire signature expansions of conditional Fourier-Laplace transforms and local Riccati expansions of their logs, with global recovery via recentered randomized Riccati equations.
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The Volterra signature
The Volterra signature is a kernel-weighted tensor feature map for paths that is injective, universally approximating, and computable via linear ODEs or a two-parameter integral equation.
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Valuation of variable annuities under the Volterra mortality and rough Heston models
A deep signature LSMC method prices variable annuities with surrender in non-Markovian rough Heston and Volterra models, with fair fees increasing in Hurst parameters.