Uploaded June 2025 | Updated September 2026, 1 week ago
In this talk, Sara Svaluto-Ferro introduces signature methods鈥攁 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 It么 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.
馃敂 Subscribe for more insights on the future of data modeling. Keep up-to-date on SIAM/BFS Webinars at wiki.siam.org/siag-fm/index.php/Current_events#Forthcoming_Talks
Watch *previous SIAM FME webinars* at youtube.com/playlist?list=PLf_ipOSbWC85WhSODpb_AHqtraqSkTVZR
Learn more about *SIAM Activity Group on Financial Mathematics and Engineering* at siam.org/get-involved/connect-with-a-community/activity-groups/financial-mathematics-and-engineering
#MathematicalFinance #QuantitativeFinance #SignatureMethods #StochasticProcesses #VolatilityModeling #It么Calculus #TimeSeriesAnalysis
In this talk, Sara Svaluto-Ferro introduces signature methods鈥攁 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 It么 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.
馃敂 Subscribe for more insights on the future of data modeling. Keep up-to-date on SIAM/BFS Webinars at wiki.siam.org/siag-fm/index.php/Current_events#Forthcoming_Talks
Watch *previous SIAM FME webinars* at youtube.com/playlist?list=PLf_ipOSbWC85WhSODpb_AHqtraqSkTVZR
Learn more about *SIAM Activity Group on Financial Mathematics and Engineering* at siam.org/get-involved/connect-with-a-community/activity-groups/financial-mathematics-and-engineering
#MathematicalFinance #QuantitativeFinance #SignatureMethods #StochasticProcesses #VolatilityModeling #It么Calculus #TimeSeriesAnalysis
