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Terry John Lyons

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Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.

    Cited by:

    1. Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020. "A generative adversarial network approach to calibration of local stochastic volatility models," Papers 2005.02505, arXiv.org, revised Sep 2020.
    2. Chung I Lu & Julian Sester, 2024. "Generative modelling of financial time series with structured noise and MMD-based signature learning," Papers 2407.19848, arXiv.org, revised Nov 2025.
    3. Mohamed Hamdouche & Pierre Henry-Labordere & Huy^en Pham, 2023. "Generative modeling for time series via Schr{\"o}dinger bridge," Papers 2304.05093, arXiv.org.
    4. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.
    5. Alexandre Miot, 2020. "Adversarial trading," Papers 2101.03128, arXiv.org.
    6. Christa Cuchiero & Philipp Schmocker & Josef Teichmann, 2023. "Global universal approximation of functional input maps on weighted spaces," Papers 2306.03303, arXiv.org, revised Dec 2025.
    7. Christa Cuchiero & Guido Gazzani & Janka Möller & Sara Svaluto‐Ferro, 2025. "Joint calibration to SPX and VIX options with signature‐based models," Mathematical Finance, Wiley Blackwell, vol. 35(1), pages 161-213, January.
    8. Beatrice Acciaio & Anastasis Kratsios & Gudmund Pammer, 2022. "Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer," Papers 2201.13094, arXiv.org, revised Mar 2023.
    9. Christa Cuchiero & Guido Gazzani & Janka Moller & Sara Svaluto-Ferro, 2023. "Joint calibration to SPX and VIX options with signature-based models," Papers 2301.13235, arXiv.org, revised Jul 2024.
    10. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
    11. Emiel Lemahieu & Kris Boudt & Maarten Wyns, 2023. "Generating drawdown-realistic financial price paths using path signatures," Papers 2309.04507, arXiv.org.
    12. Achintya Gopal, 2024. "NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities," Papers 2408.01499, arXiv.org.
    13. Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020. "A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models," Risks, MDPI, vol. 8(4), pages 1-31, September.
    14. Spears, Taylor C. & Hansen, Kristian Bondo & Xu, Ruowen & Millo, Yuval, 2025. "Governing Synthetic Data in the Financial Sector," SocArXiv ruxkh_v1, Center for Open Science.
    15. Andrea Coletta & Joseph Jerome & Rahul Savani & Svitlana Vyetrenko, 2023. "Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness," Papers 2306.12806, arXiv.org.
    16. Magnus Wiese & Phillip Murray, 2022. "Risk-Neutral Market Simulation," Papers 2202.13996, arXiv.org.
    17. Ruslan Tepelyan & Achintya Gopal, 2023. "Generative Machine Learning for Multivariate Equity Returns," Papers 2311.14735, arXiv.org.
    18. Rama Cont & Mihai Cucuringu & Renyuan Xu & Chao Zhang, 2022. "Tail-GAN: Learning to Simulate Tail Risk Scenarios," Papers 2203.01664, arXiv.org, revised May 2025.
    19. Christa Cuchiero & Guido Gazzani & Sara Svaluto-Ferro, 2022. "Signature-based models: theory and calibration," Papers 2207.13136, arXiv.org.
    20. Magnus Wiese & Phillip Murray & Ralf Korn, 2023. "Sig-Splines: universal approximation and convex calibration of time series generative models," Papers 2307.09767, arXiv.org.
    21. Mohamed Hamdouche & Pierre Henry-Labordere & Huyên Pham, 2023. "Generative modeling for time series via Schrödinger bridge," Working Papers hal-04063041, HAL.
    22. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Aug 2025.
    23. Francesca Biagini & Lukas Gonon & Niklas Walter, 2024. "Universal randomised signatures for generative time series modelling," Papers 2406.10214, arXiv.org, revised Sep 2024.
    24. Konrad J. Mueller & Nikita Zozoulenko & Ben Wood & Thomas Cass & Lukas Gonon, 2026. "Generating Financial Time Series by Matching Random Convolutional Features," Papers 2606.05138, arXiv.org.
    25. Blanka Horvath & Zacharia Issa & Aitor Muguruza, 2021. "Clustering Market Regimes using the Wasserstein Distance," Papers 2110.11848, arXiv.org.
    26. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Estimating risks of option books using neural-SDE market models," Papers 2202.07148, arXiv.org.
    27. Christa Cuchiero & Francesca Primavera & Sara Svaluto-Ferro, 2022. "Universal approximation theorems for continuous functions of c\`adl\`ag paths and L\'evy-type signature models," Papers 2208.02293, arXiv.org, revised Aug 2023.
    28. Chung I Lu, 2023. "Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation," Papers 2307.07694, arXiv.org, revised Aug 2025.
    29. Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021. "Black-box model risk in finance," Papers 2102.04757, arXiv.org.
    30. Hans Buehler & Blanka Horvath & Yannick Limmer & Thorsten Schmidt, 2025. "Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling," Papers 2506.07299, arXiv.org.
    31. David Hirnschall, 2025. "Semi-Supervised Bayesian GANs with Log-Signatures for Uncertainty-Aware Credit Card Fraud Detection," Mathematics, MDPI, vol. 13(19), pages 1-31, October.
    32. Yannick Limmer & Blanka Horvath, 2023. "Robust Hedging GANs," Papers 2307.02310, arXiv.org.

  2. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Numerical method for model-free pricing of exotic derivatives using rough path signatures," Papers 1905.01720, arXiv.org, revised Feb 2020.

    Cited by:

    1. Imanol Perez Arribas & Cristopher Salvi & Lukasz Szpruch, 2020. "Sig-SDEs model for quantitative finance," Papers 2006.00218, arXiv.org, revised Jun 2020.

  3. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Nonparametric pricing and hedging of exotic derivatives," Papers 1905.00711, arXiv.org.

    Cited by:

    1. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.
    2. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Numerical method for model-free pricing of exotic derivatives using rough path signatures," Papers 1905.01720, arXiv.org, revised Feb 2020.
    3. Imanol Perez Arribas & Cristopher Salvi & Lukasz Szpruch, 2020. "Sig-SDEs model for quantitative finance," Papers 2006.00218, arXiv.org, revised Jun 2020.
    4. Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021. "Black-box model risk in finance," Papers 2102.04757, arXiv.org.

  4. Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas, 2019. "Optimal execution with rough path signatures," Papers 1905.00728, arXiv.org.

    Cited by:

    1. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.
    2. Zihao Guo & Hanqing Jin & Jiaqi Kuang & Zhongmin Qian & Jinghan Wang, 2025. "Signature Decomposition Method Applying to Pair Trading," Papers 2505.05332, arXiv.org, revised Oct 2025.

  5. Terry Lyons, 2014. "Rough paths, Signatures and the modelling of functions on streams," Papers 1405.4537, arXiv.org.

    Cited by:

    1. Chung I Lu & Julian Sester, 2024. "Generative modelling of financial time series with structured noise and MMD-based signature learning," Papers 2407.19848, arXiv.org, revised Nov 2025.
    2. Eduardo Abi Jaber & Louis-Amand Gérard, 2025. "Signature volatility models: pricing and hedging with Fourier," Post-Print hal-04435238, HAL.
    3. Marco Gregnanin & Johannes De Smedt & Giorgio Gnecco & Maurizio Parton, 2026. "A Generative Adversarial Graph Neural Network for Synthetic Time Series Data," Papers 2605.22215, arXiv.org.
    4. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
    5. Emiel Lemahieu & Kris Boudt & Maarten Wyns, 2023. "Generating drawdown-realistic financial price paths using path signatures," Papers 2309.04507, arXiv.org.
    6. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Nonparametric pricing and hedging of exotic derivatives," Papers 1905.00711, arXiv.org.
    7. Xin Guo & Binnan Wang & Ruixun Zhang & Chaoyi Zhao, 2025. "On Consistency of Signature Using Lasso," Operations Research, INFORMS, vol. 73(5), pages 2530-2549, September.
    8. Fermanian, Adeline, 2022. "Functional linear regression with truncated signatures," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    9. Eduardo Abi Jaber & Louis-Amand G'erard, 2024. "Signature volatility models: pricing and hedging with Fourier," Papers 2402.01820, arXiv.org, revised Jun 2025.
    10. Howard Caulfield & James P. Gleeson, 2024. "Systematic comparison of deep generative models applied to multivariate financial time series," Papers 2412.06417, arXiv.org.
    11. Keller, Christian & Zhang, Jianfeng, 2016. "Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 735-766.
    12. Hugo Inzirillo, 2024. "Clustering Digital Assets Using Path Signatures: Application to Portfolio Construction," Papers 2410.23297, arXiv.org.
    13. Flint, Guy & Hambly, Ben & Lyons, Terry, 2016. "Discretely sampled signals and the rough Hoff process," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2593-2614.
    14. Yannick Limmer & Blanka Horvath, 2023. "Robust Hedging GANs," Papers 2307.02310, arXiv.org.

  6. Daniel Levin & Terry Lyons & Hao Ni, 2013. "Learning from the past, predicting the statistics for the future, learning an evolving system," Papers 1309.0260, arXiv.org, revised Mar 2016.

    Cited by:

    1. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
    2. Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field, 2013. "Extracting information from the signature of a financial data stream," Papers 1307.7244, arXiv.org, revised Jul 2014.
    3. Xin Guo & Binnan Wang & Ruixun Zhang & Chaoyi Zhao, 2025. "On Consistency of Signature Using Lasso," Operations Research, INFORMS, vol. 73(5), pages 2530-2549, September.
    4. Guy P. Nason & Ben Powell & Duncan Elliott & Paul A. Smith, 2017. "Should we sample a time series more frequently?: decision support via multirate spectrum estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 353-407, February.
    5. Eduardo Abi Jaber & Louis-Amand Gérard, 2025. "Hedging with memory: shallow and deep learning with signatures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05197836, HAL.
    6. Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2022. "Applications of Signature Methods to Market Anomaly Detection," Papers 2201.02441, arXiv.org, revised Feb 2022.
    7. Eduardo Abi Jaber & Louis-Amand G'erard, 2025. "Hedging with memory: shallow and deep learning with signatures," Papers 2508.02759, arXiv.org.
    8. Eduardo Abi Jaber & Cl'ement Rey & Dimitri Sotnikov, 2026. "Malliavin calculus for signatures with applications to finance," Papers 2604.22528, arXiv.org.
    9. Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022. "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers 2201.08283, arXiv.org.

  7. Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field, 2013. "Extracting information from the signature of a financial data stream," Papers 1307.7244, arXiv.org, revised Jul 2014.

    Cited by:

    1. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
    2. Zihao Guo & Hanqing Jin & Jiaqi Kuang & Zhongmin Qian & Jinghan Wang, 2025. "Signature Decomposition Method Applying to Pair Trading," Papers 2505.05332, arXiv.org, revised Oct 2025.
    3. Zihao Guo & Hanqing Jin & Jiaqi Kuang & Zhongmin Qian & Jinghan Wang, 2026. "Signature Decomposition Method Applying to Pair Trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(3), pages 582-603, March.
    4. Hari P. Krishnan & Stephan Sturm, 2025. "Understanding the Commodity Futures Term Structure Through Signatures," Papers 2503.00603, arXiv.org.
    5. Hasib Uddin Molla & Antony Ware & Ilnaz Asadzadeh & Nelson Mesquita Fernandes, 2025. "Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks," Papers 2511.09061, arXiv.org, revised Feb 2026.
    6. Takanori Adachi & Yusuke Naritomi, 2021. "Discrete signature and its application to finance," Papers 2112.09342, arXiv.org, revised Jan 2022.
    7. Linze Li & William Ferreira, 2025. "Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum," Papers 2501.07135, arXiv.org.
    8. Eduardo Abi Jaber & Louis-Amand Gérard, 2025. "Hedging with memory: shallow and deep learning with signatures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05197836, HAL.
    9. Fermanian, Adeline, 2021. "Embedding and learning with signatures," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    10. Eduardo Abi Jaber & Louis-Amand G'erard, 2025. "Hedging with memory: shallow and deep learning with signatures," Papers 2508.02759, arXiv.org.
    11. Tieqi Xi & Qiuhua Zheng & Chuanhui Cheng & Ting Wu & Guojie Xie & Xuebiao Qian & Haochen Ye & Zhenyu Sun, 2025. "SwiftSession: A Novel Incremental and Adaptive Approach to Rapid Traffic Classification by Leveraging Local Features," Future Internet, MDPI, vol. 17(3), pages 1-20, March.
    12. Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022. "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers 2201.08283, arXiv.org.

  8. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.

    Cited by:

    1. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.

Articles

  1. Ibraheem, Rasheed & Wu, Yue & Lyons, Terry & dos Reis, Gonçalo, 2023. "Early prediction of Lithium-ion cell degradation trajectories using signatures of voltage curves up to 4-minute sub-sampling rates," Applied Energy, Elsevier, vol. 352(C).

    Cited by:

    1. Ibraheem, Rasheed & Dechent, Philipp & dos Reis, Gonçalo, 2025. "Path signature-based life prognostics of Li-ion battery using pulse test data," Applied Energy, Elsevier, vol. 378(PA).
    2. Yang, Minxing & Sun, Xiaofei & Liu, Rui & Wang, Lingzhi & Zhao, Fei & Mei, Xuesong, 2024. "Predict the lifetime of lithium-ion batteries using early cycles: A review," Applied Energy, Elsevier, vol. 376(PA).
    3. Wang, Cong & Chen, Yunxia, 2024. "Unsupervised dynamic prognostics for abnormal degradation of lithium-ion battery," Applied Energy, Elsevier, vol. 365(C).

  2. Yue Wu & Guy M Goodwin & Terry Lyons & Kate E A Saunders, 2022. "Identifying psychiatric diagnosis from missing mood data through the use of log-signature features," PLOS ONE, Public Library of Science, vol. 17(11), pages 1-18, November.

    Cited by:

    1. Diehl, Joscha & Ebrahimi-Fard, Kurusch & Harang, Fabian N. & Tindel, Samy, 2025. "On the signature of an image," Stochastic Processes and their Applications, Elsevier, vol. 187(C).

  3. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2020. "Non-parametric Pricing and Hedging of Exotic Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(6), pages 457-494, November.
    See citations under working paper version above.
  4. P J Moore & T J Lyons & J Gallacher & for the Alzheimer’s Disease Neuroimaging Initiative, 2019. "Random forest prediction of Alzheimer’s disease using pairwise selection from time series data," PLOS ONE, Public Library of Science, vol. 14(2), pages 1-14, February.

    Cited by:

    1. Mohamed Zul Fadhli Khairuddin & Puat Lu Hui & Khairunnisa Hasikin & Nasrul Anuar Abd Razak & Khin Wee Lai & Ahmad Shakir Mohd Saudi & Siti Salwa Ibrahim, 2022. "Occupational Injury Risk Mitigation: Machine Learning Approach and Feature Optimization for Smart Workplace Surveillance," IJERPH, MDPI, vol. 19(21), pages 1-19, October.

  5. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 26(6), pages 583-597, November.

    Cited by:

    1. Mihriban Ceylan & David J. Promel, 2025. "Global universal approximation with Brownian signatures," Papers 2512.16396, arXiv.org, revised Sep 2026.
    2. Christa Cuchiero & Philipp Schmocker & Josef Teichmann, 2023. "Global universal approximation of functional input maps on weighted spaces," Papers 2306.03303, arXiv.org, revised Dec 2025.
    3. Xin Guo & Binnan Wang & Ruixun Zhang & Chaoyi Zhao, 2025. "On Consistency of Signature Using Lasso," Operations Research, INFORMS, vol. 73(5), pages 2530-2549, September.
    4. Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2023. "Randomized Signature Methods in Optimal Portfolio Selection," Papers 2312.16448, arXiv.org.
    5. Fabian A. Harang & Fred Espen Benth & Fride Straum, 2024. "Universal approximation on non-geometric rough paths and applications to financial derivatives pricing," Papers 2412.16009, arXiv.org, revised Dec 2025.
    6. Mihriban Ceylan & Anna P. Kwossek & David J. Promel, 2026. "Universal approximation with signatures of non-geometric rough paths," Papers 2602.05898, arXiv.org.
    7. Ming Min & Tomoyuki Ichiba, 2023. "Convolutional signature for sequential data," Digital Finance, Springer, vol. 5(1), pages 3-28, March.
    8. Mihriban Ceylan & David J. Promel, 2026. "Global universality via discrete-time signatures," Papers 2603.09773, arXiv.org, revised Aug 2026.
    9. Gambara, Matteo & Livieri, Giulia & Pallavicini, Andrea, 2025. "Machine-learning regression methods for American-style path-dependent contracts," LSE Research Online Documents on Economics 128600, London School of Economics and Political Science, LSE Library.
    10. Valentin Tissot-Daguette, 2021. "Projection of Functionals and Fast Pricing of Exotic Options," Papers 2111.03713, arXiv.org, revised Apr 2022.
    11. Haotian Gu & Xin Guo & Timothy L. Jacobs & Philip Kaminsky & Xinyu Li, 2025. "Transportation Marketplace Rate Forecast Using Signature Transform," Interfaces, INFORMS, vol. 55(5), pages 424-436, September.

  6. Flint, Guy & Hambly, Ben & Lyons, Terry, 2016. "Discretely sampled signals and the rough Hoff process," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2593-2614.

    Cited by:

    1. Zacharia Issa & Blanka Horvath, 2023. "Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures," Papers 2306.15835, arXiv.org.
    2. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
    3. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Nonparametric pricing and hedging of exotic derivatives," Papers 1905.00711, arXiv.org.
    4. Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024. "Rough differential equations for volatility," Papers 2412.21192, arXiv.org, revised Mar 2026.
    5. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Numerical method for model-free pricing of exotic derivatives using rough path signatures," Papers 1905.01720, arXiv.org, revised Feb 2020.
    6. Eduardo Abi Jaber & Louis-Amand Gérard, 2025. "Hedging with memory: shallow and deep learning with signatures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05197836, HAL.
    7. Fermanian, Adeline, 2021. "Embedding and learning with signatures," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    8. Imanol Perez Arribas & Cristopher Salvi & Lukasz Szpruch, 2020. "Sig-SDEs model for quantitative finance," Papers 2006.00218, arXiv.org, revised Jun 2020.
    9. Eduardo Abi Jaber & Louis-Amand G'erard, 2025. "Hedging with memory: shallow and deep learning with signatures," Papers 2508.02759, arXiv.org.
    10. Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch, 2020. "Solving path dependent PDEs with LSTM networks and path signatures," Papers 2011.10630, arXiv.org.

  7. Crisan Dan & Lyons Terry, 2002. "Minimal Entropy Approximations and Optimal Algorithms," Monte Carlo Methods and Applications, De Gruyter, vol. 8(4), pages 343-356, December.

    Cited by:

    1. Syoiti Ninomiya & Yuji Shinozaki, 2025. "A high-order recombination algorithm for weak approximation of stochastic differential equations," Papers 2504.19717, arXiv.org, revised May 2025.
    2. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    3. Ninomiya Syoiti, 2003. "A partial sampling method applied to the Kusuoka approximation," Monte Carlo Methods and Applications, De Gruyter, vol. 9(1), pages 27-38, January.
    4. Chaudru de Raynal, P.E. & Garcia Trillos, C.A., 2015. "A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(6), pages 2206-2255.

  8. T. J. Lyons, 1995. "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 117-133.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Li, Xinpeng & Peng, Shige, 2011. "Stopping times and related Itô's calculus with G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1492-1508, July.
    3. Daniel Fernholz & Ioannis Karatzas, 2012. "Optimal arbitrage under model uncertainty," Papers 1202.2999, arXiv.org.
    4. Mahayni, Antje & Schneider, Judith C., 2012. "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2417-2428.
    5. Kim Weston, 2016. "Stability of utility maximization in nonequivalent markets," Finance and Stochastics, Springer, vol. 20(2), pages 511-541, April.
    6. Peter Bank & Yan Dolinsky & Selim Gokay, 2014. "Super-replication with nonlinear transaction costs and volatility uncertainty," Papers 1411.1229, arXiv.org, revised Jun 2015.
    7. Nicolas Perkowski & David J. Promel, 2013. "Pathwise stochastic integrals for model free finance," Papers 1311.6187, arXiv.org, revised Jun 2016.
    8. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
    9. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
    10. Zhaoxu Hou & Jan Obloj, 2015. "On robust pricing-hedging duality in continuous time," Papers 1503.02822, arXiv.org, revised Jul 2015.
    11. Wei Chen, 2013. "Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty," Papers 1306.4070, arXiv.org.
    12. Christian Bender & Christian Gärtner & Nikolaus Schweizer, 2018. "Pathwise Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 965-965, August.
    13. Ali Bora Yigibasioglu & Carol Alexandra, 2004. "An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds," ICMA Centre Discussion Papers in Finance icma-dp2004-07, Henley Business School, University of Reading.
    14. Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
    15. David Hobson, 2010. "Comparison results for stochastic volatility models via coupling," Finance and Stochastics, Springer, vol. 14(1), pages 129-152, January.
    16. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
    17. Xiyue Han & Alexander Schied, 2025. "Universal portfolios in continuous time: an approach in pathwise It\^o calculus," Papers 2504.11881, arXiv.org, revised Jul 2026.
    18. Johannes Ruf & Weiguan Wang, 2020. "Hedging with Linear Regressions and Neural Networks," Papers 2004.08891, arXiv.org, revised Jun 2021.
    19. Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
    20. Drapeau, Samuel & Heyne, Gregor & Kupper, Michael, 2015. "Minimal supersolutions of BSDEs under volatility uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2895-2909.
    21. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2018. "Robust XVA," Papers 1808.04908, arXiv.org, revised Feb 2020.
    22. Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.
    23. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
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Chapters

  1. Christian Litterer & Terry Lyons, 2007. "Cubature on Wiener Space Continued," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 12, pages 197-217, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Christian Bayer & Peter K. Friz, 2013. "Cubature on Wiener space: pathwise convergence," Papers 1304.4623, arXiv.org.
    2. Qi Feng & Jianfeng Zhang, 2021. "Cubature Method for Stochastic Volterra Integral Equations," Papers 2110.12853, arXiv.org, revised Jul 2023.

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