Sara Svaluto-Ferro

Publications and Preprints

 Local signature-based expansions (with F. Bandi, R. Renò). [ArXiv]
Preprint.

Signature SDEs from an affine and polynomial perspective (with C. Cuchiero, J. Teichmann). [ArXiv, GitHub]
Preprint.

Holomorphic jump-diffusions (with C. Cuchiero, F. Primavera).  [ArXiv, Article]
Stochastic Processes and their Applications, 2025.

Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models (with C. Cuchiero, F. Primavera).  [ArXiv, Article]
Finance and Stochastics, 29, 289–342, 2025.

Measure-valued processes for energy markets (with C. Cuchiero, L. Di Persio, F. Guida). [ArXiv, Article]
Mathematical Finance, 35(2), 2025.

Joint calibration to SPX and VIX options with signature-based models (with C. Cuchiero, G. Gazzani, J. Möller).  [ArXiv, GitHub, Article]
Mathematical Finance, 35(1), 2025.

Polynomial Volterra processes (with E. Abi Jaber, C. Cuchiero, L. Pelizzari, S. Pulido). [ArXiv, Article]
Electronic Journal of Probability, 29, 2024.

Measure-valued affine and polynomial diffusions (with C. Cuchiero, L. Di Persio, F. Guida). [ArXiv, Article]
Stochastic Processes and their Applications, 175, 104392, 2024.

Controlled measure-valued martingales: a viscosity solution approach (with A. Cox, S. Källblad, M. Larsson). [ArXiv, Article]
Annals of Applied probability, 34(2), 2024.

Signature-based models: theory and calibration (with C. Cuchiero, G. Gazzani).  [ArXiv, Article]
SIAM Journal on Financial Mathematics, 14(3), 910-957, 2023.

Propagation of minimality in the supercooled Stefan problem (with C. Cuchiero, S. Rigger). [ArXiv, Article]
Annals of Applied Probability, 33(2), 1388-1418, 2023.

Infinite dimensional polynomial processes (with C. Cuchiero). [ArXiv, Article]
Finance and Stochastics, 25, 383–426, 2021.

Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces (with M. Larsson). [ArXiv, Article]
Electronic Journal of Probability, 25, 2020.

Probability measure-valued polynomial diffusions (with C. Cuchiero, M. Larsson). [ArXiv, Article]
Electronic Journal of Probability, 24, 2019.

Polynomial jump-diffusions on the unit simplex (with C. Cuchiero, M. Larsson). [ArXiv, Article]
Annals of Applied Probability, 28(4), 2451-2500, 2018.

Teaching

Spring 2024, 2025, University of Verona:   Stochastic Processes in Finance 

Spring 2023, 2024, 2025, University of Verona:   AI and finance

Fall 2022, University of Padova:  Signatures in finance: life, death, and miracles

Spring 2022, 2023, 2024, 2025, University of Verona:   Fondamenti di Matematica Finanziaria

Spring 2022, University of Verona:   Matematica per le decisioni economico finanziarie

Winter 2021, University of Vienna:   Advanced Stochastic Modelling (PhD seminar)

Summer 2021, University of Vienna:   Analysis (exercise classes)

Winter 2020, University of Vienna:   Einführung in die Finanzmathematik (exercise classes)

Fall 2015, ETH Zurich:   Mathematical Foundation for Finance (exercise classes and coordination)

Spring 2012, ETH Zurich:   Statistik und Wahrscheinlichkeitsrechnung (exercise classes)

Fall 2011, ETH Zurich:   Lineare Algebra und Numerische Mathematik (exercise classes)

Co-organisation of events

June 2025:   AMaMeF, Verona, Italy. [Homepage]

December 2022:   Verona Workshop In Financial Mathematics 2022, Verona, Italy. [Homepage]

March 2021-present:   Seminar on Machine Learning in Finance, Online, World. [Homepage]

September 2020:   13th European Summer School in Financial Mathematics, Vienna, Austria. [Homepage]

Additional activities

Editorial activity: guest editor for the special issue entitled Machine Learning in Finance at Mathematical Finance

Referee activity (2018-present): Annals of Applied Probability, Finance and Stochastics, Mathematics and Financial Economics, Stochastic Processes and their Applications.

2016-2018, ETH Zurich, Switzerland: Organization of the group of Probability theory, Insurance mathematics, and Stochastic finance.

2015, University of Cape Town, South Africa: Victory of the ACQuFRR Financial Mathematics Team Challenge.

Talks (Invited talks highlighted with (*))

Workshop: Directions in Rough Analysis, Duality, Signatures and Measure-valued processes, Oberwolfach, Germany, November 2024. (*)

Workshop: Mathematical insights from markets, control, and learning, Signature-based models: theory and applications, Aussois, France, September 2024.

Summer school on Machine learning methods for finance, Advanced probability and machine learning techniques for mathematical finance, Bertinoro, Italy, July 2024. (*)

4th Italian Meeting on Probability and Mathematical Statistics, Measure-valued processes for energy markets, Rome, Italy, June 2024.

Financial and Actuarial Mathematics Seminar, Signature-based models: theory and calibration, Los Angeles (online), USA, June 2024. (*)

Trento Probability Seminar, Signature-based models: theory and calibration, Trento, Italy, June 2024. (*)

Seminars in Probability, Stochastic Analysis and Statistics, Signature-based models: theory and calibration, Pisa, Italy, June 2024. (*)

XXV Workshop on Quantitative Finance, Time expansion for stochastic processes, Bologna, Italy, April 2024.

Laplacian Growth Models: Theory and Applications, Propagation of minimality in the supercooled Stefan problem, Chicago (hybrid), USA, June 2023. (*)

Seminar at  Institute for Financial and Actuarial Mathematics at University of Liverpool, Signature-based models: theory and calibration, Liverpool (online), UK, May 2023. (*)

2023 LMU Spring Workshop on Finance, Stochastics, and Statistics, Signature-based models: theory and calibration, Munich, Germany, April 2023. (*)

Joint Risk & Stochastics and Financial Mathematics Seminar, Signature-based models: theory and calibration, London, UK, March 2023. (*)

Seminar in probability and statistics at the University of Manchester, From signature-based models to affine and polynomial processes and back, Manchester (online), UK, February 2023. (*)

Research Seminar in Statistics and Mathematics, Universal signature-based models: theory and calibration, Vienna, Austria, November 2022. (*)

Advances in Mathematical Finance and Optimal Transport, Universal signature-based models: theory and calibration, Pisa, Italy, June 2022. (*)

Data analytics for business, Signature-based models: theory and calibration, Verona, Italy, May 2022. (*)

Spring Colloquium on Probability and Finance, Signature-based models: theory and calibration, Padova (hybrid), Italy, April 2022. (*)

22nd Quantitative Finance Workshop, Universality of affine and polynomial processes and appli- cation to signature processes, Rome (hybrid), Italy, March 2022.

Seminario di Probabilità e Finanza, Signature processes in mathematical finance, an introduction, Padova (hybrid), Italy, February 2022. (*)

15th International Conference: Computational and Financial Econometrics, Universal signature-based models, London (online), UK, December 2021. (*)

Probability seminar Bath, Universality of affine and polynomial processes and application to signature processes, Bath (online), UK, November 2021. (*)

Workshop: Junior female researchers in probability, Universal signature-based models, Berlin (online), Germany, October 2021.

9th Austrian Stochastics days, Universal signature-based models, Leoben, Austria, September 2021. (*)

6th Berlin Workshop on Mathematical Finance for Young Researchers, Universality of affine and polynomial processes and application to signature processes, Berlin (online), Germany, August 2021.

10th General AMaMeF Conference, Universality of affine and polynomial processes and application to signature processes, Padua (online), Italy, June 2021.

Vienna Seminar in Mathematical Finance and Probability, Universal signature-based models: theory and calibration, Vienna (online), Austria, May 2021.

Talks in Financial and Insurance Mathematics, Universality of affine and polynomial processes, Zurich (online), Switzerland, April 2021.(*)

Seminar at the Università degli studi di Milano, Universality of affine and polynomial processes, Milan (online), Italy, April 2021.(*)

Universality of affine and polynomial processes and applications to processes on the unit interval, December 2020,
Workshop on Representations of (jump-) diffusions, online.

Polynomial processes - a universal modeling class, December 2019,
Stochastic processes and applications in biology, Berlin, Germany. (*)

Polynomial processes - a universal modeling class, November 2019,
Stochastic Analysis and Stochastic Finance, Berlin, Germany. (*)

Infinite dimensional polynomial jump-diffusions, September 2019,
ÖMG Conference, Dornbirn, Austria.

Infinite dimensional polynomial jump-diffusions, September 2019,
Vienna Congress on Mathematical Finance, Vienna, Austria.

Infinite dimensional polynomial processes and applications to rough volatility modeling, September 2019,
An afternoon of high-dimensional stochastics, Vienna, Austria.

Infinite dimensional polynomial jump-diffusions, June 2019,
3rd International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia.

Infinite dimensional polynomial jump-diffusions, February 2019,
Joint Risk & Stochastics and Financial Mathematics seminar series, London, UK. (*)

Infinite dimensional polynomial jump-diffusions, January 2019,
20th Quantitative Finance Workshop, Zurich, Switzerland.

Existence of probability measure-valued jump-diffusions in Wasserstein spaces, January 2019,
13th Bachelier Colloquium, Métabief, France.

Probability measure-valued polynomial diffusions, July 2018,
10th World Congresses of the Bachelier Finance Society, Dublin, Ireland.

Generators of probability measure-valued jump-diffusions, July 2018,
Freiburg-Wien-Zürich Workshop, Strobl at Wolfgangsee, Austria. (*)

Measure-valued polynomial diffusions, September 2017,
2nd International Conference on Computational Finance, Lisbon, Portugal.

Measure-valued polynomial diffusions, May 2017,
School and Workshop on Dynamical Models in Finance, Lausanne, Switzerland.

Measure-valued polynomial diffusions, March 2017,
Young Researcher Workshop in Mathematical Finance, Ann Arbor, USA. (*)

Boundary attainment for polynomial jump-diffusions on the unit interval, January 2017,
11th Bachelier Colloquium, Métabief, France.

Polynomial Jump-Diffusions on the Unit Interval (and the Unit Simplex), July 2016,
9th World Congresses of the Bachelier Finance Society, New York, USA.

Polynomial Preserving Jump-Diffusions on the Unit Interval, February 2016,
Frontiers in Stochastic Modelling for Finance, Padova, Italy.

Polynomial Preserving Jump-Diffusions on the Unit Interval, October 2015,
Conference for "Junior female researchers in probability", Berlin, Germany.

Polynomial Preserving Jump-Diffusions on the Unit Interval, August 2015,
11th Doktorandentreffen Stochastik, Berlin, Germany.