Publications

Publications and preprints

• Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models
  with R. Saqur, A. Kratsios, Florian Krach, Y. Limmer, J. Tian, J. Willes, F. Rudzicz, May 2024

• Reality Only Happens Once: Single-Path Generalization Bounds for Transformers  with Y. Limmer, A. Kratsios, X. Yang, R. Saqur, May 2024

• Deep Kalman Filters Can Filter with A. Kratsios, Y. Limmer, and X. Yang, October 2023. 

• Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals with O.  Futter, and M.  Wiese, August 2023.

• A Hybrid Quantum Wasserstein GAN with Applications to Option Pricing with F. D. Fuchs, July 2023.

• Non-parametric Online Market Regime Detection and Regime Clustering for Multidimensional and Path-Dependent Data Structures with Z. Issa, June 2023.

• Robust Hedging GANs with Y. Limmer, June 2023.

• Harnessing Quantitative Finance by Data-Centric Methods  with A. Muguruza Gonzalez, and M. S. Pakkanen,  in  Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices,  Edited: A. Capponi, C.-A. Lehalle, Cambridge University Press, May 2023.

• Non-adversarial training of Neural SDEs with signature kernel scores with Z. Issa, M. Lemercier, C. Salvi, May 2023.

• Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach, with M. Lemercier, C. Liu, T. Lyons, C. Salvi, April 2023.

• Model-Agnostic Pricing of Exotic Derivatives Using Signatures
  with A. Alden, C. Ventre, G. Lee: Proceedings of the Third ACM International Conference on AI in Finance, 96-104,  Nov 2022.

• Higher order kernel mean embeddings to capture filtrations of stochastic processes,
  with C. Salvi, M. Lemercier, C. Liu, T. Damoulas, and T. Lyons, Advances in Neural Information Processing Systems 34, 16635-16647, Dec 2021.

• Clustering Market Regimes Using the Wasserstein Distance, with Z. Issa and A. Muguruza, October 2021.

• Hedging under Rough Volatility, with M. Fukasawa and P. Tankov, May 2021: Book chapter in "Rough Volatility", 2023. 

• Sailing in rough waters: examining volatility of fMRI noise, with J.Leppanen, H. Stone, D. J. Lythgoe and S. Williams.
  Journal of Magnetic Resonance Imaging, Volume 78, Pages 69-79, May 2021.

• Deep Hedging under Rough Volatility, with J. Teichmann and Zan Zuric, February 2021.

• A data-driven market simulator for small data environments, with H. Buehler, T. Lyons, I Perez Arribas and B. Wood, June 2020.
  
  

• Volatility options in rough volatility models (with Antoine Jacquier and Peter Tankov), February 2018 [PDF], submitted.

• Functional central limit theorems for rough volatility (with Antoine Jacquier and Aitor Muguruza), November 2017 [PDF], submitted.

• Asymptotic behaviour of randomised fractional volatility models (with Antoine Jacquier and Chloe Lacombe), August 2017 [PDF], submitted.

• Short-time near the money skew in rough fractional stochastic volatility models (with Christian Bayer, Peter Friz, Archil Gulisashvili and Benjamin Stemper), March 2017 [PDF], submitted. 

• Dirichlet forms and finite element methods for the SABR model (with Oleg Reichmann) ,  SIAM Journal on Financial Mathematics, Vol. 9, No.1 (36 pages), 2018. [PDF]

• Functional analytic (ir-)regularity properties of SABR-type processes  (with Leif Döring and Josef Teichmann),  International Journal of Theoretical and Applied Finance Vol. 20, No. 3 (48 pages), 2017. [PDF]

• Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (with Archil Gulisashvili and Antoine Jacquier), to appear in Quantitative Finance, November 2016 [PDF].

• On the probability of hitting the boundary for Brownian motions on the SABR plane (with Archil Gulisashvili and Antoine Jacquier), Electronic Communications in Probability , 21(75): 1-13, 2016. [PDF]

• Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics (with Josef Teichmann and Johannes Muhle-Karbe).

• PhD thesis, available at e-collection library, ETH Zürich. 

• Dynamics and Planar Representations of Translation Surfaces: The Face to Face Property (with Ursula Hamenstädt).

• Diploma Thesis, available at Mathematics Library, University of Bonn.