Large Portfolio Asymptotics for Loss from Default
 Giesecke, K Spiliopoulos, K Sowers, R Sirignano, J (01 Jan 2011) doi:10.2139/ssrn.1923125
Fluctuation Analysis for the Loss from Default
 Spiliopoulos, K Sirignano, J Giesecke, K (01 Jan 2013) doi:10.2139/ssrn.2226994
Stochastic Gradient Descent in Continuous Time
 Sirignano, J Spiliopoulos, K SIAM Journal on Financial Mathematics volume 8 issue 1 933-961 (06 Jan 2017) doi:10.1137/17m1126825
Risk Analysis for Large Pools of Loans
 Sirignano, J Giesecke, K Management Science volume 65 issue 1 107-121 (Jan 2019) doi:10.1287/mnsc.2017.2947
Subscribe to