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Terry John Lyons

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Personal Details

First Name:Terry
Middle Name:John
Last Name:Lyons
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RePEc Short-ID:ply46
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Affiliation

(50%) Oxford-Man Institute of Quantitative Finance
Oxford University

Oxford, United Kingdom
http://www.oxford-man.ox.ac.uk/
RePEc:edi:omioxuk (more details at EDIRC)

(50%) Mathematical and Computational Finance Group
Oxford University

Oxford, United Kingdom
http://www.maths.ox.ac.uk/mcfg/
RePEc:edi:ccfoxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

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.
  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. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Nonparametric pricing and hedging of exotic derivatives," Papers 1905.00711, arXiv.org.
  4. Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas, 2019. "Optimal execution with rough path signatures," Papers 1905.00728, arXiv.org.
  5. Terry Lyons, 2014. "Rough paths, Signatures and the modelling of functions on streams," Papers 1405.4537, 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.
  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.
  8. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.

Articles

  1. DECOVID Consortium & Louis J. M. Aslett & Andreea Avramescu & Nicholas Bakewell & Isabel Birds & Louise Bowler & Michael P. J. Camilleri & Sheng-Chia Chung & David A. Clifton & Samuel N. Cohen & Natha, 2025. "DECOVID: A UK Two-Center Harmonized Database of Acute Care Electronic Health Records for COVID-19 Research," Data, MDPI, vol. 10(12), pages 1-27, November.
  2. Lyons, Terry J. & Margarint, Vlad & Nejad, Sina, 2024. "Convergence to closed-form distribution for the backward SLEκ at some random times and the phase transition at κ=8," Statistics & Probability Letters, Elsevier, vol. 205(C).
  3. 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).
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Lyons, T. J. & Röckner, M. & Zhang, T. S., 1996. "Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 31-38, November.
  11. 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.

Chapters

  1. James Morrill & Adeline Fermanian & Patrick Kidger & Terry Lyons, 2026. "A Canonical Signature-Based Feature Set for Multivariate Time Series Classification," Springer Books, in: Dan Crisan & Ilya Chevyrev & Thomas Cass & James Foster & Christian Litterer & Cristopher Salvi (ed.), Stochastic Analysis and Applications 2025, pages 73-94, Springer.
  2. Hans Bühler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2026. "A Data-Driven Market Simulator for Small Data Environments," Springer Books, in: Dan Crisan & Ilya Chevyrev & Thomas Cass & James Foster & Christian Litterer & Cristopher Salvi (ed.), Stochastic Analysis and Applications 2025, pages 273-310, Springer.
  3. Adeline Fermanian & Jiawei Chang & Terry Lyons & Gérard Biau, 2024. "The Insertion Method to Invert the Signature of a Path," Springer Books, in: Matteo Barigozzi & Siegfried Hörmann & Davy Paindaveine (ed.), Recent Advances in Econometrics and Statistics, pages 575-595, Springer.
  4. Weixin Yang & Terry Lyons & Hao Ni & Cordelia Schmid & Lianwen Jin, 2022. "Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition," Springer Books, in: George Yin & Thaleia Zariphopoulou (ed.), Stochastic Analysis, Filtering, and Stochastic Optimization, pages 431-464, Springer.
  5. Lajos Gergely Gyurkó & Terry J. Lyons, 2011. "Efficient and Practical Implementations of Cubature on Wiener Space," Springer Books, in: Dan Crisan (ed.), Stochastic Analysis 2010, pages 73-111, Springer.
  6. 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..
  7. Keisuke Hara & Terry Lyons, 2007. "Smooth Rough Paths and the Applications," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 7, pages 115-125, World Scientific Publishing Co. Pte. Ltd..
  8. T. J. Lyons & Z. M. Qian, 1996. "Calculus for multiplicative functionals, Itô’s formula and differential equations," Springer Books, in: Nobuyuki Ikeda & Shinzo Watanabe & Masatoshi Fukushima & Hiroshi Kunita (ed.), Itô’s Stochastic Calculus and Probability Theory, pages 233-250, Springer.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (2) 2019-05-06 2020-07-13
  2. NEP-BIG: Big Data (1) 2020-07-13
  3. NEP-CWA: Central and Western Asia (1) 2013-09-06
  4. NEP-ECM: Econometrics (1) 2013-09-06
  5. NEP-FOR: Forecasting (1) 2013-09-06
  6. NEP-ICT: Information and Communication Technologies (1) 2013-08-05
  7. NEP-RMG: Risk Management (1) 2019-05-06

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