Konstantinos Spiliopoulos

Brown University - Division of Applied Mathematics

Providence, RI 02912

United States

SCHOLARLY PAPERS

5

DOWNLOADS

495

SSRN CITATIONS
Rank 28,264

SSRN RANKINGS

Top 28,264

in Total Papers Citations

8

CROSSREF CITATIONS

16

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 129 (226,002)
Citation 2

Abstract:

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

2.
Downloads 120 (238,646)
Citation 14

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Forthcoming
Number of pages: 29 Posted: 06 Sep 2011 Last Revised: 18 Oct 2013
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 120 (239,657)
Citation 2

Abstract:

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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 110 (254,240)
Citation 8

Abstract:

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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 99 (273,283)

Abstract:

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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 37 (446,960)
Citation 1

Abstract:

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Recovery rates, large deviations