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Thesis

Signatures in machine learning and finance

Abstract:

Developed to give meaning to differential equations driven by rough signals, rough path theory has opened in recent years a new approach to tackle certain problems in other fields such as mathematical finance and machine learning. This is due to certain algebraic and analytical properties of an object called the rough path signature. This thesis aims to make a contribution in this direction by introducing signature-based methods to study various problems arising in finance and mac...

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Division:
MPLS
Department:
Mathematical Institute
Role:
Depositor, Author

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Subgroup:
Mathematical Institute
Role:
Supervisor
ORCID:
0000-0002-9972-2809
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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