Inference for Large Financial Systems
Giesecke, K
Schwenkler, G
Sirignano, J
(01 Jan 2017)
Large Portfolio Asymptotics for Loss from Default
Giesecke, K
Spiliopoulos, K
Sowers, R
Sirignano, J
(01 Jan 2011)
Fluctuation Analysis for the Loss from Default
Spiliopoulos, K
Sirignano, J
Giesecke, K
(01 Jan 2013)
Risk Analysis for Large Pools of Loans
Sirignano, J
Giesecke, K
(01 Jan 2014)
Stochastic Gradient Descent in Continuous Time
Sirignano, J
Spiliopoulos, K
SIAM Journal on Financial Mathematics
volume 8
issue 1
933-961
(06 Jan 2017)
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)