Search Results for author: Christa Cuchiero

Found 3 papers, 1 papers with code

Expressive Power of Randomized Signature

no code implementations NeurIPS Workshop DLDE 2021 Christa Cuchiero, Lukas Gonon, Lyudmila Grigoryeva, Juan-Pablo Ortega, Josef Teichmann

We consider the question whether the time evolution of controlled differential equations on general state spaces can be arbitrarily well approximated by (regularized) regressions on features generated themselves through randomly chosen dynamical systems of moderately high dimension.

Transfer Learning

Discrete-time signatures and randomness in reservoir computing

no code implementations17 Sep 2020 Christa Cuchiero, Lukas Gonon, Lyudmila Grigoryeva, Juan-Pablo Ortega, Josef Teichmann

A new explanation of geometric nature of the reservoir computing phenomenon is presented.

A generative adversarial network approach to calibration of local stochastic volatility models

1 code implementation5 May 2020 Christa Cuchiero, Wahid Khosrawi, Josef Teichmann

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.

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