Imanol Perez Arribas

PhD in Mathematics student at the University of Oxford

Publications

Optimal execution with rough path signatures
Jasdeep Kalsi, Terry Lyons and Imanol Perez Arribas, 2020.
SIAM Journal on Financial Mathematics

Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
Terry Lyons, Sina Nejad, Imanol Perez Arribas, 2020.
Applied Mathematical Finance, pp.1-15.

Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning
Alvaro Cartea, Imanol Perez Arribas and Leandro Sanchez-Betancourt, 2020.
SSRN 3562251

Deep Signature Transforms
Patric Bonnier, Patrick Kidger, Imanol Perez Arribas, Cristopher Salvi and Terry Lyons, 2019.
NeurIPS 2019.

Nonparametric pricing and hedging of exotic derivatives
Terry Lyons, Sina Nejad and Imanol Perez Arribas, 2019.
arXiv:1905.00711

A signature-based machine learning model for bipolar disorder and borderline personality disorder
Imanol Perez Arribas, Guy M. Goodwin, John R. Geddes, Terry Lyons and Kate E.A. Saunders, 2018.
Translational Psychiatry, 8(1), p.274.

Derivatives pricing using signature payoffs
Imanol Perez Arribas, 2018.
arXiv:1809.09466

Labelling as an unsupervised learning problem
Terry Lyons and Imanol Perez Arribas, 2018.
arXiv:1805.03911