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07/24/2023
Extending Path-Dependent NJ-ODEs to Noisy Observations and a Dependent Observation Framework
The Path-Dependent Neural Jump ODE (PD-NJ-ODE) is a model for predicting...
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01/02/2022
Randomized Signature Layers for Signal Extraction in Time Series Data
Time series analysis is a widespread task in Natural Sciences, Social Sc...
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05/05/2020
A generative adversarial network approach to calibration of local stochastic volatility models
We propose a fully data driven approach to calibrate local stochastic vo...
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04/28/2020
