Anastasia Borovykh
Anastasia Borovykh
Researcher Imperial College
Email verificata su imperial.ac.uk - Home page
Titolo
Citata da
Citata da
Anno
Conditional time series forecasting with convolutional neural networks
A Borovykh, S Bohte, CW Oosterlee
Journal of Computational Finance 22 (4), 2017
169*2017
A neural network-based framework for financial model calibration
S Liu, A Borovykh, LA Grzelak, CW Oosterlee
Journal of Mathematics in Industry 9 (1), 9, 2019
202019
Pricing Bermudan options under local LÚvy models with default
A Borovykh, A Pascucci, CW Oosterlee
Journal of Mathematical Analysis and Applications 450 (2), 929-953, 2017
142017
Efficient computation of various valuation adjustments under local LÚvy models
A Borovykh, A Pascucci, CW Oosterlee
SIAM Journal on Financial Mathematics 9 (1), 251-273, 2018
72018
Generalization in fully-connected neural networks for time series forecasting
A Borovykh, CW Oosterlee, SM BohtÚ
Journal of Computational Science 36, 101020, 2019
62019
A Gaussian Process perspective on Convolutional Neural Networks
A Borovykh
arXiv preprint arXiv:1810.10798, 2018
62018
On stochastic mirror descent with interacting particles: convergence properties and variance reduction
A Borovykh, N Kantas, P Parpas, GA Pavliotis
arXiv preprint arXiv:2007.07704, 2020
2*2020
Optimally weighted loss functions for solving PDEs with Neural Networks
R van der Meer, C Oosterlee, A Borovykh
arXiv preprint arXiv:2002.06269, 2020
22020
On Calibration Neural Networks for extracting implied information from American options
S Liu, ┴ Leitao, A Borovykh, CW Oosterlee
arXiv preprint arXiv:2001.11786, 2020
12020
The effects of optimization on generalization in infinitely wide neural networks
A Borovykh
International Conference on Machine Learning (ICML) Workshop, 2019
12019
Systemic risk in a mean-field model of interbank lending with self-exciting shocks
A Borovykh, A Pascucci, S La Rovere
IISE Transactions 50 (9), 806-819, 2018
12018
Implications of collateral agreements for derivative pricing
A Borovykh, MJ Boes
Working paper, 2014
12014
Analytic expressions for the output evolution of a deep neural network
A Borovykh
arXiv preprint arXiv:1912.08526, 2019
2019
Bermudan option valuation under state-dependent models
A Borovykh, A Pascucci, CW Oosterlee
International Congress on Acturial Science and Quantitative Finance, 127-138, 2016
2016
The pricing of an Asian option on a basket of futures (Nederlandse titel:“Het prijzen van Aziatische opties op baskets van futures”)
A Borovykh
2013
Il sistema al momento non pu˛ eseguire l'operazione. Riprova pi¨ tardi.
Articoli 1–15