Codes used for "Joint calibration to SPX and VIX options with signature-based models" by Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro
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Updated
Aug 20, 2024 - Python
Codes used for "Joint calibration to SPX and VIX options with signature-based models" by Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro
Code for "Signature-based models: theory and calibration"
Code for "Joint calibration to SPX and VIX options with signature-based models"
Code for article "Signature Methods in Stochastic Portfolio Theory"
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