Large-Scale Loan Portfolio Selection
Sirignano, J
Tsoukalas, G
Giesecke, K
(01 Jan 2015)
Deep Learning for Limit Order Books
Sirignano, J
(01 Jan 2016)
Stochastic Gradient Descent in Continuous Time
Sirignano, J
Spiliopoulos, K
(01 Jan 2017)
Deep Learning for Mortgage Risk
Sirignano, J
Sadhwani, A
Giesecke, K
(01 Jan 2018)
Risk Analysis for Large Pools of Loans
Sirignano, J
Giesecke, K
Management Science
volume 65
issue 1
107-121
(Jan 2019)
Deep learning for limit order books
Sirignano, J
Quantitative Finance
volume 19
issue 4
549-570
(03 Apr 2019)
Large Portfolio Asymptotics for Loss From Default
Giesecke, K
Spiliopoulos, K
Sowers, R
Sirignano, J
(06 Sep 2011)
Fluctuation Analysis for the Loss From Default
Spiliopoulos, K
Sirignano, J
Giesecke, K
(04 Apr 2013)
Stochastic Gradient Descent in Continuous Time
Sirignano, J
Spiliopoulos, K
(16 Nov 2016)
DGM: A deep learning algorithm for solving partial differential equations
Sirignano, J
Spiliopoulos, K
(24 Aug 2017)