Nonparametric pricing and hedging with signatures

14 January 2019
15:45
IMANOL PEREZ
Abstract

We address the problem of pricing and hedging general exotic derivatives. We study this problem in the scenario when one has access to limited price data of other exotic derivatives. In this presentation I explore a nonparametric approach to pricing exotic payoffs using market prices of other exotic derivatives using signatures.

 

  • Stochastic Analysis Seminar