SIAM 2022


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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.

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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