Code for "Signature-based models: theory and calibration"
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Updated
Jul 28, 2022 - Jupyter Notebook
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signature-methods
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Codes used for "Joint calibration to SPX and VIX options with signature-based models" by Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro
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Aug 20, 2024 - Python
Code for article "Signature Methods in Stochastic Portfolio Theory"
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Oct 5, 2023 - Python
Code for "Joint calibration to SPX and VIX options with signature-based models"
calibration
signatures
option-pricing
signature-methods
affine-and-polynomial-processes
joint-calibration
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Updated
Jun 23, 2023 - Python
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