Details about Terry John Lyons

Access statistics for papers by Terry John Lyons.

Last updated 2025-04-28. Update your information in the RePEc Author Service.

Short-id: ply46

Working Papers

2020

1. A Data-driven Market Simulator for Small Data Environments
   Papers, arXiv.org View citations (32)
   See also Chapter A Data-Driven Market Simulator for Small Data Environments, Springer Books, Springer (2026) (2026)
2. Numerical method for model-free pricing of exotic derivatives using rough path signatures
   Papers, arXiv.org View citations (1)

2019

3. Nonparametric pricing and hedging of exotic derivatives
   Papers, arXiv.org View citations (4)
   See also Journal Article Non-parametric Pricing and Hedging of Exotic Derivatives, Applied Mathematical Finance, Taylor & Francis Journals (2020) View citations (20) (2020)
4. Optimal execution with rough path signatures
   Papers, arXiv.org View citations (2)

2016

5. Learning from the past, predicting the statistics for the future, learning an evolving system
   Papers, arXiv.org View citations (9)

2014

6. Extracting information from the signature of a financial data stream
   Papers, arXiv.org View citations (12)
7. Rough paths, Signatures and the modelling of functions on streams
   Papers, arXiv.org View citations (14)

2010

8. A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
   Papers, arXiv.org View citations (1)

Journal Articles

2025

1. DECOVID: A UK Two-Center Harmonized Database of Acute Care Electronic Health Records for COVID-19 Research
   Data, 2025, 10, (12), 1-27

2024

2. Convergence to closed-form distribution for the backward SLEκ at some random times and the phase transition at κ=8
   Statistics & Probability Letters, 2024, 205, (C)

2023

3. Early prediction of Lithium-ion cell degradation trajectories using signatures of voltage curves up to 4-minute sub-sampling rates
   Applied Energy, 2023, 352, (C) View citations (3)

2022

4. Identifying psychiatric diagnosis from missing mood data through the use of log-signature features
   PLOS ONE, 2022, 17, (11), 1-18 View citations (1)

2020

5. Non-parametric Pricing and Hedging of Exotic Derivatives
   Applied Mathematical Finance, 2020, 27, (6), 457-494 View citations (20)
   See also Working Paper Nonparametric pricing and hedging of exotic derivatives, Papers (2019) View citations (4) (2019)

2019

6. Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
   Applied Mathematical Finance, 2019, 26, (6), 583-597 View citations (11)
7. Random forest prediction of Alzheimer’s disease using pairwise selection from time series data
   PLOS ONE, 2019, 14, (2), 1-14 View citations (1)

2016

8. Discretely sampled signals and the rough Hoff process
   Stochastic Processes and their Applications, 2016, 126, (9), 2593-2614 View citations (10)

2002

9. Minimal Entropy Approximations and Optimal Algorithms
   Monte Carlo Methods and Applications, 2002, 8, (4), 343-356 View citations (5)

1996

10. Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]
    Stochastic Processes and their Applications, 1996, 64, (1), 31-38

1995

11. Uncertain volatility and the risk-free synthesis of derivatives
    Applied Mathematical Finance, 1995, 2, (2), 117-133 View citations (107)

Chapters

2026

1. A Canonical Signature-Based Feature Set for Multivariate Time Series Classification
   Springer
2. A Data-Driven Market Simulator for Small Data Environments
   Springer
   See also Working Paper A Data-driven Market Simulator for Small Data Environments, arXiv.org (2020) View citations (32) (2020)

2024

3. The Insertion Method to Invert the Signature of a Path
   Springer

2022

4. Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition
   Springer

2011

5. Efficient and Practical Implementations of Cubature on Wiener Space
   Springer

2007

6. Cubature on Wiener Space Continued
   Chapter 12 in Stochastic Processes And Applications To Mathematical Finance, 2007, pp 197-217 View citations (2)
7. Smooth Rough Paths and the Applications
   Chapter 7 in Stochastic Processes And Applications To Mathematical Finance, 2007, pp 115-125

1996

8. Calculus for multiplicative functionals, Itô’s formula and differential equations
   Springer