Imanol Pérez Arribas
University of Oxford
H-index: 10
Europe-United Kingdom
Top articles of Imanol Pérez Arribas
Title | Journal | Author(s) | Publication Date |
---|---|---|---|
Double-execution strategies using path signatures | SIAM Journal on Financial Mathematics | Álvaro Cartea Imanol Pérez Arribas Leandro Sánchez-Betancourt | 2022 |
Signatures in machine learning and finance | Imanol Perez Arribas | 2020 | |
Non-parametric pricing and hedging of exotic derivatives | Applied Mathematical Finance | Terry Lyons Sina Nejad Imanol Perez Arribas | 2020/11/1 |
Optimal execution with rough path signatures | SIAM Journal on Financial Mathematics | Jasdeep Kalsi Terry Lyons Imanol Perez Arribas | 2020 |
Sig-SDEs model for quantitative finance | Imanol Perez Arribas Cristopher Salvi Lukasz Szpruch | 2020/10/15 | |
Generating financial markets with signatures | Available at SSRN 3657366 | Hans Buehler Blanka Horvath Terry Lyons Imanol Perez Arribas Ben Wood | 2020/7/21 |
A data-driven market simulator for small data environments | Blanka Horvath Terry Lyons Imanol Perez Arribas Ben Wood | 2021/3/16 | |
Anomaly detection on streamed data | Thomas Cochrane Peter Foster Terry Lyons Imanol Perez Arribas | 2020/6/5 |