Signature-based validation of real-world economic scenarios

Article Properties
Abstract
Cite
Andrès, Hervé, et al. “Signature-Based Validation of Real-World Economic Scenarios”. ASTIN Bulletin, vol. 54, no. 2, 2024, pp. 410-4, https://doi.org/10.1017/asb.2024.12.
Andrès, H., Boumezoued, A., & Jourdain, B. (2024). Signature-based validation of real-world economic scenarios. ASTIN Bulletin, 54(2), 410-440. https://doi.org/10.1017/asb.2024.12
Andrès H, Boumezoued A, Jourdain B. Signature-based validation of real-world economic scenarios. ASTIN Bulletin. 2024;54(2):410-4.
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Statistics
Refrences
Title Journal Journal Categories Citations Publication Date
Non-parametric pricing and hedging of exotic derivatives Applied Mathematical Finance 2020
An inequality of the Hölder type, connected with Stieltjes integration 1936
Signature moments to characterize laws of stochastic processes Journal of Machine Learning Research
  • Technology: Mechanical engineering and machinery
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science
 2022
Algorithm 1004: The iisignature library: Efficient calculation of iterated-integral signatures and log signatures 2020
Estimating insurers capital requirements through markov switching models in the solvency ii framework 2012