Author

Samuel N. Cohen

2 papers indexed here

We haven’t gathered this author’s papers yet. Follow them and we’ll fetch their work.

Not the right person? Other researchers publish under this name.

Preprint Sep 2026

Liquidity Provision and Rebate Design in Option Markets

We provide a model for the nested optimisation problem of market making and rebate design problems in option markets and find optimal strategies. A single market maker trades multiple European call options in a local-stochastic volatility option market with both make and take strategies, modeled, respectively, as conti...

Samuel N. Cohen, Lyndon Drake, Zi-Han Guo et al. · 0 citations

#machine learning Preprint Mar 2026

Extending SSMs with the Exponentially Weighted Signature

We introduce the exponentially weighted signature (EWS), a continuous-time model that computes iterated integrals of a path, where each increment is weighted by the matrix exponential of a learnable generator over elapsed clock time. We prove that it solves a linear controlled differential equation, keeps the group-lik...

Alexandre Bloch, Benjamin Walker, Joel Mouterde et al. · 1 citation