research
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04/01/2022
Learning the conditional law: signatures and conditional GANs in filtering and prediction of diffusion processes
We consider the filtering and prediction problem for a diffusion process...
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11/01/2021
Sig-Wasserstein GANs for Time Series Generation
Synthetic data is an emerging technology that can significantly accelera...
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07/08/2020
Robust pricing and hedging via neural SDEs
Mathematical modelling is ubiquitous in the financial industry and drive...
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06/10/2020
Multi-index Antithetic Stochastic Gradient Algorithm
Stochastic Gradient Algorithms (SGAs) are ubiquitous in computational st...
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10/11/2018