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Deep learning for mortgage risk

Sadhwani, Apaar; Giesecke, Kay; Sirignano, Justin - In: Journal of financial econometrics 19 (2021) 2, pp. 313-368

Persistent link: https://www.econbiz.de/10012620055

Risk analysis for large pools of loans

Sirignano, Justin; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 1, pp. 107-121

Persistent link: https://www.econbiz.de/10011991377

Universal features of price formation in financial markets : perspectives from deep learning

Sirignano, Justin; Cont, Rama - In: Quantitative finance 19 (2019) 9, pp. 1449-1459

Persistent link: https://www.econbiz.de/10012194797

Continuous-time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations

Wang, Ziheng; Sirignano, Justin - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 348-424

Persistent link: https://www.econbiz.de/10014514766

Pathwise moderate deviations for option pricing

Jacquier, Antoine; Spiliopoulos, Konstantinos - In: Mathematical Finance 30 (2019) 2, pp. 426-463

Persistent link: https://www.econbiz.de/10012192405

Optimal investment, derivative demand, and arbitrage under price impact

Anthropelos, Michail; Robertson, Scott; Spiliopoulos, … - In: Mathematical Finance 31 (2020) 1, pp. 3-35

Persistent link: https://www.econbiz.de/10012283209

On the effect of heterogeneity on flocking behavior and systemic risk

Fang, Fei; Sun, Yiwei; Spiliopoulos, Konstantinos - In: Statistics & Risk Modeling 34 (2017) 3-4, pp. 141-155

Abstract The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in the system, i.e., the risk that several agents...

Persistent link: https://www.econbiz.de/10014621255

Indifference pricing for contingent claims : large deviations effects

Robertson, Scott; Spiliopoulos, Konstantinos - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 335-371

Persistent link: https://www.econbiz.de/10011969147

Sequential Monte Carlo for fractional stochastic volatility models

Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517

Persistent link: https://www.econbiz.de/10011906404

Network effects in default clustering for large systems

Spiliopoulos, Konstantinos; Yang, Jia - In: Applied mathematical finance 26 (2019) 6, pp. 523-582

Persistent link: https://www.econbiz.de/10012210422