Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

 

Past events in this series


Thu, 04 Jun 2026

16:00 - 17:00
L5

Path Regression via Signature: Theories and Applications

Wen Su
((Mathematical Institute University of Oxford))
Abstract

In many prediction and decision problems, the relevant inputs are path-valued covariates rather than static feature vectors. This paper studies asymptotic theory and empirical applications for path regression using signatures. We first establish \(L^2\) approximation rates for truncated signature representations. We prove a minimax-optimal approximation rate over a class of smooth coefficient functionals of observable It\^{o} diffusions. Building on this approximation theory, we then develop asymptotic results for three signature-based learning procedures: Signature-OLS, Signature-LASSO, and Signature-Logistic. These results establish asymptotic normality for least-squares path regression, sparse recovery for high-dimensional signature regression, and latent-score consistency for binary-response classification. Extensive empirical studies cover three real-data applications: foreign-exchange realized-volatility forecasting from intraday price paths, battery end-of-life prediction from early HPPC pulse paths, and epileptic seizure detection from short EEG windows. The empirical results show that signatures provide informative representations of path-valued covariates relative to handcrafted features.

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Thu, 11 Jun 2026

16:00 - 17:00
L5

Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator And  Deep Hedging using Mixture of Experts 

Raeid Saqur
((Mathematical Institute University of Oxford))
Abstract
Modern ML methods for derivatives sit at a delicate interface between market prices, implied-volatility (IV) surfaces, and the simulated environments produced by market generators. To date, these models have largely operated in one of two coordinate systems: price space, where markets quote and no-arbitrage constraints are most naturally enforced, and IV space, where surfaces are smoothed, regularized, and evaluated. This talk presents a technique that unifies learning across both coordinates — using gradients from each via a differentiable Jäckel operator and a low-vega gating mechanism — enabling end-to-end batch training without the error-prone, expensive, hand-engineered filtering usually needed to discard incompatible IV values.
 
I will present PIVOT (Price-Implied Volatility Operator Transform), a differentiable Jäckel IV operator that preserves the accuracy of the standard "Let's Be Rational" (LBR) solver in the forward pass while supplying implicit gradients through the Black–Scholes/Black-76 price map. This gives neural volatility-surface models a principled bridge between price-space and IV-space objectives, with explicit handling of the low-vega singular regime.
Second, I will  present Fast-Vollib (https://pypi.org/project/fast-vollib/), a CUDA-accelerated option-pricing library with NumPy, PyTorch, and JAX interfaces, built for high-throughput pricing-label generation in AI/ML batch training.
 
With a differentiable surface in hand, I turn to the downstream task it enables: deep hedging in mixed training environments. Using the classical density-mixing results of Brigo and Mercurio, we replace naive pooling of paths from multiple calibrated generators with a single coherent diffusion - yielding a training environment that inherits the strengths of each expert while remaining a well-defined generative model - reducing the tendency of expressive policies such as causal transformers to overfit to artificial simulator identities.
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Thu, 18 Jun 2026

16:00 - 17:00
L5

Ambiguity-Averse Deep Hedging

Adam Jones
((Mathematical Institute University of Oxford))
Abstract

The uncertainty in future market dynamics is an important consideration when developing strategies for hedging derivatives, particularly data driven strategies such as deep hedging. Deep market generators can produce higher fidelity training data than classical models, but, like those, typically require frequent recalibration to new market data. The resulting strategies are thus susceptible to underperformance if there is a mismatch (distributional shift) between training data and live data. We present a framework to train a modified deep hedger which displays a form of ambiguity aversion, henceforth termed an Ambiguity-Averse Deep Hedger (AADH). The modeller has full control over exactly which aspects of distributional shifts the AADH is to be robust to, through selection of features relevant to the trading strategy which are used to cluster the training data, allowing for the evaluation of a loss function motivated by the theory of smooth ambiguity aversion.

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