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Sara SVALUTO-FERRO (University of Verona) “Signature-based models: theory, calibration, and expansions”
Mathematical Finance Time: 10.00 am Date:20th of November 2025 Room 3001 Sara SVALUTO-FERRO (University of Verona) "Signature-based models: theory, calibration, and expansions" Abstract: Signature methods provide a non-parametric approach to extracting features from trajectories, offering versatile applications in finance. The structure of signature components enables the use of advanced mathematical tools and the construction of […]
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Julio BACKHOFF (University of Vienna) “Exciting games and the specific relative entropy “
Mathematical Finance Time: 11.00 am Date:20th of November 2025 Room 3001 Julio BACKHOFF (University of Vienna) "Exciting games and the specific relative entropy " Abstract : The laws of two continuous martingales will typically be singular to each other and hence have infinite relative entropy. But this does not need to happen in discrete time. […]
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