Signature-Based Models: Theory, Calibration, and Expansions with Sara Svaluto-Ferro скачать в хорошем качестве

Signature-Based Models: Theory, Calibration, and Expansions with Sara Svaluto-Ferro

In this talk, Sara Svaluto-Ferro introduces signature methods—a powerful, non-parametric tool for extracting features from path-dependent data. With applications in quantitative finance, signature methods offer a flexible framework for modeling complex behaviors in financial time series. The presentation explores two key applications: Stochastic Volatility Modeling: Using signatures to express both log-price and squared VIX in a linear form, enabling closed-form solutions and accurate calibration for SPX and VIX options. Moment Expansions: Leveraging the time-extended Itô signature to derive high-order expansions of conditional moments and characteristic functions, with applications in short-time asymptotics. This talk is ideal for researchers and practitioners interested in advanced mathematical finance and data-driven modeling. 🔔 Subscribe for more insights on the future of data modeling. Keep up-to-date on SIAM/BFS Webinars at https://wiki.siam.org/siag-fm/index.p... Watch previous SIAM FME webinars at    • SIAM Activity Group on FME Virtual Talk Se...   Learn more about SIAM Activity Group on Financial Mathematics and Engineering at https://www.siam.org/get-involved/con... #MathematicalFinance #QuantitativeFinance #SignatureMethods #StochasticProcesses #VolatilityModeling #ItôCalculus #TimeSeriesAnalysis