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.
Pricing American options under rough volatility using deep-signatures and signature-kernels
2 Pith papers cite this work. Polarity classification is still indexing.
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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.
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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.