Terry John Lyons : Citation Profile

Oxford University (50% share)
Oxford University (50% share)

8

H index

7

i10 index

236

Citations

RESEARCH PRODUCTION:

11

Articles

8

Papers

8

Chapters

RESEARCH ACTIVITY:

   31 years (1995 - 2026). See details.
   Cites by year: 7
   Journals where Terry John Lyons has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 0 (0 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ply46
   Updated: 2026-09-19    RAS profile: 2025-04-28    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Terry John Lyons.

Is cited by:

Epstein, Larry (2)

Snow, Derek (2)

Boudt, Kris (2)

Siu, Tak Kuen (2)

Liang, Gechun (1)

Gozzi, Fausto (1)

Chen, Wei (1)

Castellano, Rosella (1)

Fabbri, Giorgio (1)

Cerqueti, Roy (1)

Sottinen, Tommi (1)

Cites to:

Lo, Andrew (3)

Bollerslev, Tim (3)

Firoozye, Nikan (2)

Scholes, Myron (2)

Engle, Robert (1)

Renault, Eric (1)

Rogers, Leonard (1)

Cartea, Álvaro (1)

LEHALLE, Charles-Albert (1)

Goutte, Stéphane (1)

merton, robert (1)

Main data

Where Terry John Lyons has published?

Journals with more than one article published# docs
Applied Mathematical Finance3
PLOS ONE2
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8

Recent works citing Terry John Lyons (2026 and 2025)

YearTitle of citing document
2025Signature approach for pricing and hedging path-dependent options with frictions. (2025). Motte, Edouard ; Hainaut, Donatien ; Jaber, Eduardo Abi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025023.

Full description at Econpapers || Download paper

2025Tail-GAN: Learning to Simulate Tail Risk Scenarios. (2023). Xu, Renyuan ; Cont, Rama ; Cucuringu, Mihai ; Zhang, Chao. In: Papers. RePEc:arx:papers:2203.01664.

Full description at Econpapers || Download paper

2024Joint calibration to SPX and VIX options with signature-based models. (2024). Svaluto-Ferro, Sara ; Moller, Janka ; Gazzani, Guido ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2301.13235.

Full description at Econpapers || Download paper

2026Signature SDEs from an affine and polynomial perspective. (2025). Svaluto-Ferro, Sara ; Teichmann, Josef ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2302.01362.

Full description at Econpapers || Download paper

2025Global universal approximation of functional input maps on weighted spaces. (2025). Schmocker, Philipp ; Teichmann, Josef ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2306.03303.

Full description at Econpapers || Download paper

2025Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation. (2023). Lu, Chung I. In: Papers. RePEc:arx:papers:2307.07694.

Full description at Econpapers || Download paper

2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

Full description at Econpapers || Download paper

2024Gamma Hedging and Rough Paths. (2024). Armstrong, John ; Ionescu, Andrei. In: Papers. RePEc:arx:papers:2309.05054.

Full description at Econpapers || Download paper

2024Signature Methods in Stochastic Portfolio Theory. (2024). Moller, Janka ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2310.02322.

Full description at Econpapers || Download paper

2025Signature volatility models: pricing and hedging with Fourier. (2024). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2402.01820.

Full description at Econpapers || Download paper

2025A monotone piecewise constant control integration approach for the two-factor uncertain volatility model. (2025). Zhou, Hao ; Dang, Duy-Minh. In: Papers. RePEc:arx:papers:2402.06840.

Full description at Econpapers || Download paper

2024Spanning Multi-Asset Payoffs With ReLUs. (2024). Cr, St'Ephane ; Bossu, S'Ebastien ; Nguyen, Hoang-Dung. In: Papers. RePEc:arx:papers:2403.14231.

Full description at Econpapers || Download paper

2024Universal randomised signatures for generative time series modelling. (2024). Walter, Niklas ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2406.10214.

Full description at Econpapers || Download paper

2025Generative model for financial time series trained with MMD using a signature kernel. (2024). Sester, Julian ; Lu, Chung I. In: Papers. RePEc:arx:papers:2407.19848.

Full description at Econpapers || Download paper

2024NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities. (2024). Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01499.

Full description at Econpapers || Download paper

2024Clustering Digital Assets Using Path Signatures: Application to Portfolio Construction. (2024). Inzirillo, Hugo. In: Papers. RePEc:arx:papers:2410.23297.

Full description at Econpapers || Download paper

2026Model-free portfolio allocation in continuous-time. (2025). Chiu, Henry. In: Papers. RePEc:arx:papers:2411.05470.

Full description at Econpapers || Download paper

2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

Full description at Econpapers || Download paper

2025Universal approximation on non-geometric rough paths and applications to financial derivatives pricing. (2024). Straum, Fride ; Benth, Fred Espen ; Harang, Fabian A. In: Papers. RePEc:arx:papers:2412.16009.

Full description at Econpapers || Download paper

2026Rough differential equations for volatility. (2024). Gasteratos, Ioannis ; Jacquier, Antoine ; Bonesini, Ofelia ; Ferrucci, Emilio. In: Papers. RePEc:arx:papers:2412.21192.

Full description at Econpapers || Download paper

2025Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum. (2025). Ferreira, William ; Li, Linze. In: Papers. RePEc:arx:papers:2501.07135.

Full description at Econpapers || Download paper

2025Understanding the Commodity Futures Term Structure Through Signatures. (2025). Sturm, Stephan ; Krishnan, Hari P. In: Papers. RePEc:arx:papers:2503.00603.

Full description at Econpapers || Download paper

2025Local signature-based expansions. (2025). Bandi, Federico M ; Svaluto-Ferro, Sara ; Reno, Roberto. In: Papers. RePEc:arx:papers:2504.06351.

Full description at Econpapers || Download paper

2026Universal portfolios in continuous time: an approach in pathwise It\^o calculus. (2025). Schied, Alexander ; Han, Xiyue. In: Papers. RePEc:arx:papers:2504.11881.

Full description at Econpapers || Download paper

2025A high-order recombination algorithm for weak approximation of stochastic differential equations. (2025). Shinozaki, Yuji ; Ninomiya, Syoiti. In: Papers. RePEc:arx:papers:2504.19717.

Full description at Econpapers || Download paper

2025Signature Decomposition Method Applying to Pair Trading. (2025). Guo, Zihao ; Kuang, Jiaqi ; Jin, Hanqing ; Wang, Jinghan ; Qian, Zhongmin. In: Papers. RePEc:arx:papers:2505.05332.

Full description at Econpapers || Download paper

2025Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling. (2025). Limmer, Yannick ; Buehler, Hans ; Horvath, Blanka ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:2506.07299.

Full description at Econpapers || Download paper

2025Robust Hedging of American Options via Aggregated Snell Envelopes. (2025). Rodrigues, Marco. In: Papers. RePEc:arx:papers:2506.14553.

Full description at Econpapers || Download paper

2025Hedging with memory: shallow and deep learning with signatures. (2025). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2508.02759.

Full description at Econpapers || Download paper

2026Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models. (2025). Shi, Qijin ; Ichiba, Tomoyuki. In: Papers. RePEc:arx:papers:2509.14529.

Full description at Econpapers || Download paper

2026Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks. (2025). Molla, Hasib Uddin ; Ware, Antony ; Asadzadeh, Ilnaz ; Fernandes, Nelson Mesquita. In: Papers. RePEc:arx:papers:2511.09061.

Full description at Econpapers || Download paper

2025Signature approach for pricing and hedging path-dependent options with frictions. (2025). Jaber, Eduardo Abi ; Motte, Edouard ; Hainaut, Donatien. In: Papers. RePEc:arx:papers:2511.23295.

Full description at Econpapers || Download paper

2026Global universal approximation with Brownian signatures. (2025). Ceylan, Mihriban ; Promel, David J. In: Papers. RePEc:arx:papers:2512.16396.

Full description at Econpapers || Download paper

2026Universal approximation with signatures of non-geometric rough paths. (2026). Promel, David J ; Kwossek, Anna P ; Ceylan, Mihriban. In: Papers. RePEc:arx:papers:2602.05898.

Full description at Econpapers || Download paper

2026Global universality via discrete-time signatures. (2026). Promel, David J ; Ceylan, Mihriban. In: Papers. RePEc:arx:papers:2603.09773.

Full description at Econpapers || Download paper

2026Option pricing model under the G-expectation framework. (2026). Zheng, Xiaotao ; Yue, Xingye ; Pei, Ziting. In: Papers. RePEc:arx:papers:2603.22831.

Full description at Econpapers || Download paper

2026Malliavin calculus for signatures with applications to finance. (2026). Sotnikov, Dimitri ; Rey, Cl'Ement ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2604.22528.

Full description at Econpapers || Download paper

2026A Generative Adversarial Graph Neural Network for Synthetic Time Series Data. (2026). Parton, Maurizio ; Gnecco, Giorgio ; de Smedt, Johannes ; Gregnanin, Marco. In: Papers. RePEc:arx:papers:2605.22215.

Full description at Econpapers || Download paper

2026Generating Financial Time Series by Matching Random Convolutional Features. (2026). Gonon, Lukas ; Cass, Thomas ; Wood, Ben ; Zozoulenko, Nikita ; Mueller, Konrad J. In: Papers. RePEc:arx:papers:2606.05138.

Full description at Econpapers || Download paper

2026Weighted universal approximation of differentiable maps on infinite-dimensional manifolds. (2026). Teichmann, Josef ; Schmocker, Philipp. In: Papers. RePEc:arx:papers:2606.09820.

Full description at Econpapers || Download paper

2025Joint calibration to SPX and VIX options with signature‐based models. (2025). Svalutoferro, Sara ; Mller, Janka ; Gazzani, Guido ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:35:y:2025:i:1:p:161-213.

Full description at Econpapers || Download paper

2025Path signature-based life prognostics of Li-ion battery using pulse test data. (2025). Ibraheem, Rasheed ; Reis, Gonalo Dos ; Dechent, Philipp. In: Applied Energy. RePEc:eee:appene:v:378:y:2025:i:pa:s0306261924022037.

Full description at Econpapers || Download paper

2026Robust pricing of equity-Indexed annuities under uncertain volatility and stochastic interest rate. (2026). Zanette, Antonino ; Molent, Andrea ; Goudenge, Ludovic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:127:y:2026:i:c:s0167668726000193.

Full description at Econpapers || Download paper

2025On the signature of an image. (2025). Tindel, Samy ; Harang, Fabian N ; Ebrahimi-Fard, Kurusch ; Diehl, Joscha. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:187:y:2025:i:c:s0304414925001024.

Full description at Econpapers || Download paper

2025Machine-learning regression methods for American-style path-dependent contracts. (2025). Pallavicini, Andrea ; Livieri, Giulia ; Gambara, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128600.

Full description at Econpapers || Download paper

2025SwiftSession: A Novel Incremental and Adaptive Approach to Rapid Traffic Classification by Leveraging Local Features. (2025). Xie, Guojie ; Cheng, Chuanhui ; Wu, Ting ; Qian, Xuebiao ; Ye, Haochen ; Sun, Zhenyu ; Zheng, Qiuhua. In: Future Internet. RePEc:gam:jftint:v:17:y:2025:i:3:p:114-:d:1604505.

Full description at Econpapers || Download paper

2025Semi-Supervised Bayesian GANs with Log-Signatures for Uncertainty-Aware Credit Card Fraud Detection. (2025). Hirnschall, David. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3229-:d:1766966.

Full description at Econpapers || Download paper

2025Hedging with memory: shallow and deep learning with signatures. (2025). Grard, Louis-Amand ; Jaber, Eduardo Abi. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05197836.

Full description at Econpapers || Download paper

2025Signature volatility models: pricing and hedging with Fourier. (2025). Grard, Louis-Amand ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-04435238.

Full description at Econpapers || Download paper

2025Transportation Marketplace Rate Forecast Using Signature Transform. (2025). Li, Xinyu ; Guo, Xin ; Jacobs, Timothy L ; Kaminsky, Philip. In: Interfaces. RePEc:inm:orinte:v:55:y:2025:i:5:p:424-436.

Full description at Econpapers || Download paper

2025On Consistency of Signature Using Lasso. (2025). Guo, Xin ; Zhang, Ruixun ; Zhao, Chaoyi ; Wang, Binnan. In: Operations Research. RePEc:inm:oropre:v:73:y:2025:i:5:p:2530-2549.

Full description at Econpapers || Download paper

2026Hedging Derivatives with Recalibration and Model Risk. (2026). Matsumoto, Koichi ; Goto, Seiya ; Davis, Mark. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:33:y:2026:i:1:d:10.1007_s10690-024-09501-7.

Full description at Econpapers || Download paper

2025Governing Synthetic Data in the Financial Sector. (2025). Millo, Yuval ; Xu, Ruowen ; Hansen, Kristian Bondo ; Spears, Taylor C. In: SocArXiv. RePEc:osf:socarx:ruxkh_v1.

Full description at Econpapers || Download paper

2025Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models. (2025). Svaluto-Ferro, Sara ; Primavera, Francesca ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00557-5.

Full description at Econpapers || Download paper

2025Gamma hedging and rough paths. (2025). Armstrong, John ; Ionescu, Andrei. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:4:d:10.1007_s00780-025-00576-2.

Full description at Econpapers || Download paper

2026Signature Decomposition Method Applying to Pair Trading. (2026). Jin, Hanqing ; Guo, Zihao ; Wang, Jinghan ; Qian, Zhongmin ; Kuang, Jiaqi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:3:p:582-603.

Full description at Econpapers || Download paper

Works by Terry John Lyons:

YearTitleTypeCited
2010A Functional Approach to FBSDEs and Its Application in Optimal Portfolios In: Papers.
[Full Text][Citation analysis]		paper1
2014Extracting information from the signature of a financial data stream In: Papers.
[Full Text][Citation analysis]		paper12
2016Learning from the past, predicting the statistics for the future, learning an evolving system In: Papers.
[Full Text][Citation analysis]		paper9
2014Rough paths, Signatures and the modelling of functions on streams In: Papers.
[Full Text][Citation analysis]		paper14
2019Nonparametric pricing and hedging of exotic derivatives In: Papers.
[Full Text][Citation analysis]		paper24
2020Non-parametric Pricing and Hedging of Exotic Derivatives.(2020) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		article
2019Optimal execution with rough path signatures In: Papers.
[Full Text][Citation analysis]		paper2
2020Numerical method for model-free pricing of exotic derivatives using rough path signatures In: Papers.
[Full Text][Citation analysis]		paper1
2020A Data-driven Market Simulator for Small Data Environments In: Papers.
[Full Text][Citation analysis]		paper32
2026A Data-Driven Market Simulator for Small Data Environments.(2026) In: Springer Books.
[Citation analysis]
This paper has nother version. Agregated cites: 32		chapter
2002Minimal Entropy Approximations and Optimal Algorithms In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]		article5
2023Early prediction of Lithium-ion cell degradation trajectories using signatures of voltage curves up to 4-minute sub-sampling rates In: Applied Energy.
[Full Text][Citation analysis]		article3
2016Discretely sampled signals and the rough Hoff process In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article10
1996Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1] In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2024Convergence to closed-form distribution for the backward SLEκ at some random times and the phase transition at κ=8 In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2025DECOVID: A UK Two-Center Harmonized Database of Acute Care Electronic Health Records for COVID-19 Research In: Data.
[Full Text][Citation analysis]		article0
2019Random forest prediction of Alzheimer’s disease using pairwise selection from time series data In: PLOS ONE.
[Full Text][Citation analysis]		article1
2022Identifying psychiatric diagnosis from missing mood data through the use of log-signature features In: PLOS ONE.
[Full Text][Citation analysis]		article1
2022Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition In: Springer Books.
[Citation analysis]		chapter0
2024The Insertion Method to Invert the Signature of a Path In: Springer Books.
[Citation analysis]		chapter0
2026A Canonical Signature-Based Feature Set for Multivariate Time Series Classification In: Springer Books.
[Citation analysis]		chapter0
2011Efficient and Practical Implementations of Cubature on Wiener Space In: Springer Books.
[Citation analysis]		chapter0
1996Calculus for multiplicative functionals, Itô’s formula and differential equations In: Springer Books.
[Citation analysis]		chapter0
2019Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article11
1995Uncertain volatility and the risk-free synthesis of derivatives In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article108
2007Smooth Rough Paths and the Applications In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2007Cubature on Wiener Space Continued In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter2

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 20 2026. Contact: CitEc Team