Скачать или смотреть 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.

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