SIAM 2022 | DataSıg

DataSıg will have a strong presence at this year's Annual Meeting which provides a broad view of the state of the art in applied mathematics, computational and data science, and their applications.

Signature methods in Finance

Session I: Mon 11 July, 08:30-10:30 EDT, 13:30-15:30 BST

Bruno Dupire	Signatures and Functional Itô Calculus
Hao Ni	The signature-based generative models for financial time series
Ilya Chevyrev	Signature moments to characterize laws of stochastic processes
Josef Teichmann	Randomized signatures: proofs, properties and applications

Session II: Tue 12 July, 08:30-10:30 EDT, 13:30-15:30 BST

Chong Liu	Higher Rank Signatures and Filtrations
Harald Oberhauser	Signatures and Adapted Topologies
Magnus Wiese	Generating equity option markets with signatures

Signatures, Kernels, and Applications

Session I: Wed 13 July, 08:30-10:30 EDT, 13:30-15:30 BST

Adeline Fermanian	Framing RNN as a kernel method: A neural ODE approach
Cris Salvi	Learning differential equations with kernels
Darrick Lee	A topological approach to signatures

Session II: Thu 14 July, 08:30-10:30 EDT, 13:30-15:30 BST

James Morrill	Neural Rough Differential Equations
Kevin Schlegel	Human action recognition with signatures and deep learning
Maud Lemercier	Higher Order Kernel Mean Embeddings for Stochastic Processes

Session III: Fri 15 July, 08:30-10:30 EDT, 13:30-15:30 BST

Lingyi Yang	Neural CDEs - how to make the most of them in applications
Mohamed Ibrahim	Signature-based representation of events in video streams
Yue Wu	Signature features with visibility transformation