signature-methods
There are 4 repositories under signature-methods topic.
GuidoGazzani-ai/sigsde_calibration
Code for "Signature-based models: theory and calibration"
janka-moeller/joint_calib_SPX_VIX
Codes used for "Joint calibration to SPX and VIX options with signature-based models" by Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro
janka-moeller/Sig-SPT
Code for article "Signature Methods in Stochastic Portfolio Theory"
GuidoGazzani-ai/jointcalib_sigsde
Code for "Joint calibration to SPX and VIX options with signature-based models"