no code implementations • 4 Jun 2024 • Guido Gazzani, Julien Guyon
We use this approximation to tackle the joint calibration of S&P 500 and VIX options.
1 code implementation • 30 Jan 2023 • Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro
Adding to such a primary process the Brownian motion driving the stock price, allows then to express both the log-price and the VIX squared as linear functions of the signature of the corresponding augmented process.
1 code implementation • 26 Jul 2022 • Christa Cuchiero, Guido Gazzani, Sara Svaluto-Ferro
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional continuous semimartingale.
no code implementations • 14 Apr 2022 • Christa Cuchiero, Guido Gazzani, Irene Klein
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property.