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In the spirit of Arrow-Debreu, we introduce a family of financial derivatives that act as primitive securities in that exotic derivatives can be approximated by their linear combinations.
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M. R. Grasselli and T. R. Hurd · 2002
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F. Hubalek, J. Kallsen, and L. Krawczyk · 2006
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Characteristic functions of measures on geometric rough paths
I. Chevyrev and T. Lyons · 2016
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G. Flint, B. Hambly, and T. Lyons · 2016
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Candia Riga · 2016
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A. Ananova and R. Cont · 2017
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Pathwise superreplication via vovk’s outer measure
Mathias Beiglböck, Alexander MG Cox, Martin Huesmann, Nicolas Perkowski, and David J Prömel · 2017
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M. Schweizer · 2010
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M. Jeanblanc, M. Mania, M. Santacroce, and M. Schweizer · 2012
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H. Ni · 2012
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Functional itô calculus and stochastic integral representation of martingales
R. Cont and D. A. Fournié · 2013
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Sparse arrays of signatures for online character recognition. arxiv
B. Graham · 2013
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Variance optimal hedging for continuous time additive processes and applications
S. Goutte, N. Oudjane, and F. Russo · 2014
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Online signature verification using recurrent neural network and length-normalized path signature descriptor
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A signature-based machine learning model for bipolar disorder and borderline personality disorder
I. Perez Arribas, K. Saunders, G. Goodwin, J. Geddes, and T. Lyons · 2018
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Learning spatial-semantic context with fully convolutional recurrent network for online handwritten chinese text recognition
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Deep hedging
Hans Buehler, Lukas Gonon, Josef Teichmann, and Ben Wood · 2019
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