Signature Methods in Finance, Kartoniert / Broschiert

Klappentext

• Part I: Introduction to Signatures in Machine Learning.- A Primer on the Signature Method in Machine Learning.- An Introduction to Tensors for Path Signatures.- The Signature Kernel.- Part II: Applications of Signatures.- Market Generators: A Paradigm Shift in Financial Modeling.- Signature Maximum Mean Discrepancy Two-Sample Statistical Tests.- Signature and the Functional Taylor Expansion.- Signature-Based Models in Finance.- Signature Trading Strategies.- Optimal Stopping for Non-Markovian Asset Price Processes.- Adapted Topologies and Higher-Rank Signatures.- On Expected Signatures and Signature Cumulants in Semimartingale Models.