Konstantinos Spiliopoulos

Brown University - Division of Applied Mathematics

Providence, RI 02912

United States

SCHOLARLY PAPERS

5

DOWNLOADS

522

SSRN CITATIONS
Rank 29,968

SSRN RANKINGS

Top 29,968

in Total Papers Citations

10

CROSSREF CITATIONS

17

Scholarly Papers (5)

1.

Stochastic Gradient Descent in Continuous Time

Number of pages: 24 Posted: 20 Apr 2017
Justin Sirignano and Konstantinos Spiliopoulos
Imperial College London - Department of Mathematics and Brown University - Division of Applied Mathematics
Downloads 147 (223,894)
Citation 5

Abstract:

Loading...

Statistical Learning, Machine Learning, Finance, American Options, Financial Engineering, Financial Math

2.
Downloads 122 (258,985)
Citation 16

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Forthcoming
Number of pages: 29 Posted: 06 Sep 2011 Last Revised: 04 Nov 2020
Kay Giesecke, Konstantinos Spiliopoulos, Richard Sowers and Justin Sirignano
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 122 (260,083)
Citation 2

Abstract:

Loading...

law of large numbers, loss distribution, interacting point processes, portfolio credit risk

3.

Default Clustering in Large Portfolios: Typical Events

Annals of Applied Probability, Forthcoming
Number of pages: 40 Posted: 09 Jan 2011 Last Revised: 29 Apr 2012
Kay Giesecke, Konstantinos Spiliopoulos and Richard Sowers
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 113 (273,777)
Citation 10

Abstract:

Loading...

Large Portfolio, Self-Exciting Defaults, Mean-Field, law of large numbers

4.

Fluctuation Analysis for the Loss from Default

Number of pages: 32 Posted: 03 Mar 2013 Last Revised: 06 Feb 2014
Konstantinos Spiliopoulos, Justin Sirignano and Kay Giesecke
Brown University - Division of Applied Mathematics, Imperial College London - Department of Mathematics and Stanford University - Management Science & Engineering
Downloads 102 (293,958)

Abstract:

Loading...

CLT, fluctuations analysis, portfolio loss, risk management, approximation

5.

Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis

Number of pages: 27 Posted: 09 Jun 2010
Konstantinos Spiliopoulos and Richard Sowers
Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 38 (484,025)
Citation 1

Abstract:

Loading...

Recovery rates, large deviations