A Path-Dependent PDE Solver Based on Signature Kernels

By Alexandre Pannier, Cristopher Salvi

Published 2024-03-19

Everscope rating

1784.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Signature Kernel PDE Solver. Problem types: Path-Dependent PDE Solving, Option Pricing, Rough Volatility Modeling.

arXiv:2403.11738 · Code · Paper rankings

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