Status:
Personal website:
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
Rough Path theory, Lie algebras, Kernel methods, Deep Learning, Differential Equations.
Further details:
DPhil student
Teaching:
- B8.2 Continuous Martingales and Stochastic Calculus (HT 2018-2019)
- C3.3 Differentiable Manifolds (MT 2019-2020)
Prizes, awards, and scholarships:
EPSRC scholarship
Major / recent publications:
Distribution Regression for Sequential Data
Maud Lemercier, Cristopher Salvi, Theodoros Damoulas, Edwin V. Bonilla, Terry Lyons.
International Conference on Artificial Intelligence and Statistics (AISTATS) 2021
Sig-SDEs model for quantitative finance
Imanol Perez Arribas, Cristopher Salvi, Lukasz Szpruch.
ACM International Conference on AI in Finance (ICAIF) 2020
Deep Signature Transforms
Patric Bonnier, Patrick Kidger, Imanol Perez Arribas, Cristopher Salvi and Terry Lyons.
Neural Information Processing Systems (NeurIPS) 2019
Computing the full signature kernel as the solution of a Goursat problem
Cristopher Salvi, Thomas Cass, James Foster, Terry Lyons, Weixin Yang.
arXiv
Neural Rough Differential Equations
James Morrill, Cristopher Salvi, James Foster, Patrick Kidger, Terry Lyons.
arXiv