Publications

Published and accepted papers

• Polynomial Volterra processes
  with Eduardo Abi Jaber, Christa Cuchiero, Sergio Pulido and Sara Svaluto-Ferro.
  Electronic Journal of Probability 29, 1–37.

• Primal and dual optimal stopping with signatures
  with Christian Bayer and John Schoenmakers.
  Finance and Stochastics 29(4), 981–1014.

• Rough PDEs for local stochastic volatility models
  with Peter Bank, Christian Bayer and Peter Friz.
  Mathematical Finance 35(3), 661–681.

• Pricing American options under rough volatility using signatures
  with Christian Bayer and Jia-Jie Zhu.
  In Modern Topics in Stochastic Analysis and Applications, in honour of Terry Lyons’ 70th birthday, 375–398.

• Local regression on path spaces with signature metrics
  with Christian Bayer and Davit Gogolashvili.
  Proceedings of the 29th International Conference on Artificial Intelligence and Statistics.

Preprints

• Expected signatures via partial integration, coordinate change and symmetrization
  with Paul Hager.
  arXiv:2607.29534.

• The Volterra Signature
  with Paul Hager, Fabian Harang and Samy Tindel.
  arXiv:2603.04525.

• Computational aspects of the Volterra Signature
  with Paul Hager, Fabian Harang and Samy Tindel.
  arXiv:2605.18406.

PhD thesis

• Topics in rough and stochastic analysis with applications in finance
  supervised by Christian Bayer and Peter Friz.