Non-parametric Pricing and Hedging of Exotic Derivatives
Lyons, Terry, Nejad, Sina, Perez Arribas, Imanol
Published in Applied mathematical finance. (01.11.2020)
Published in Applied mathematical finance. (01.11.2020)
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Journal Article
Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
Lyons, Terry, Nejad, Sina, Perez Arribas, Imanol
Published in Applied mathematical finance. (02.11.2019)
Published in Applied mathematical finance. (02.11.2019)
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Journal Article
A signature-based machine learning model for bipolar disorder and borderline personality disorder
Imanol Perez Arribas, Saunders, Kate, Goodwin, Guy, Lyons, Terry
Published in arXiv.org (04.10.2017)
Published in arXiv.org (04.10.2017)
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Paper
Journal Article
A Data-driven Market Simulator for Small Data Environments
Bühler, Hans, Horvath, Blanka, Lyons, Terry, Arribas, Imanol Perez, Wood, Ben
Year of Publication 21.06.2020
Year of Publication 21.06.2020
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Journal Article
Sig-SDEs model for quantitative finance
Imanol Perez Arribas, Salvi, Cristopher, Szpruch, Lukasz
Published in IDEAS Working Paper Series from RePEc (01.01.2020)
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Published in IDEAS Working Paper Series from RePEc (01.01.2020)
Paper
Deep Signature Transforms
Bonnier, Patric, Kidger, Patrick, Arribas, Imanol Perez, Salvi, Cristopher, Lyons, Terry
Year of Publication 21.05.2019
Year of Publication 21.05.2019
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Journal Article