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Signature Volatility Models: Pricing and Hedging with Fourier

Eduardo Abi Jaber & Louis-Amand Gérard

SIAM Journal on Financial Mathematics2025https://doi.org/10.1137/24m1636952article
AJG 2ABDC B
Weight
0.41

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International audience

2 citations

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https://doi.org/https://doi.org/10.1137/24m1636952

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@article{eduardo2025,
  title        = {{Signature Volatility Models: Pricing and Hedging with Fourier}},
  author       = {Eduardo Abi Jaber & Louis-Amand Gérard},
  journal      = {SIAM Journal on Financial Mathematics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1137/24m1636952},
}

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Signature Volatility Models: Pricing and Hedging with Fourier

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.