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Found 3 papers, 2 papers with code
Joint calibration to SPX and VIX options with signature-based models
Adding to such a primary process the Brownian motion driving the stock price, allows then to express both the log-price and the VIX squared as linear functions of the signature of the corresponding augmented process.
Measure-valued processes for energy markets
We introduce a framework that allows to employ (non-negative) measure-valued processes for energy market modeling, in particular for electricity and gas futures.
Signature-based models: theory and calibration
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional continuous semimartingale.
