Nikolai Nowaczyk

Quaternion Risk Management

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 32,053

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Top 32,053

in Total Papers Downloads

1,473

SSRN CITATIONS
Rank 40,540

SSRN RANKINGS

Top 40,540

in Total Papers Citations

4

CROSSREF CITATIONS

10

Scholarly Papers (8)

1.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
Quaternion Risk Management, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 757 (33,450)
Citation 13

Abstract:

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Initial Margin, BCBS-IOSCO, SIMM, MVA, XVA, CCP

2.

A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk

Number of pages: 17 Posted: 22 Dec 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Downloads 151 (201,892)
Citation 2

Abstract:

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big data, graph theoretic models, data science, machine learning, Python, C , random graph generation, stochastic Linear Gauss-Markov model, Monte Carlo simulation, financial risk analytics, systemic risk, collateralizations, variation margin, initial margin, open source risk engine, financial regu

3.

Affine Recursion Problem and a General Framework for Adjoint Methods for Calculating Sensitivities for Financial Instruments

Number of pages: 47 Posted: 09 Nov 2011
Joerg Kienitz and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics and Quaternion Risk Management
Downloads 148 (205,316)

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Libor Marekt Model, Adjoint Method, Affine Recursion, Bermudan Swaption, Trigger Swaps

4.

Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System

Number of pages: 8 Posted: 01 Jun 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Downloads 137 (218,572)
Citation 1

Abstract:

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Big Data, Graph Theoretic Models, Stochastic Linear Gauss-Markov Model, Monte Carlo Simulation, Financial Risk Analytics, Collateralizations, Variation Margin, Initial Margin, Open Source Risk Engine

5.

Deep Option Pricing - Term Structure Models

Number of pages: 22 Posted: 09 Dec 2019
Joerg Kienitz, Sarp Kaya Acar, Qian Liang and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 128 (230,510)

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Machine learning, Neural networks, Computational Finance, Term Structure Models, Control Variates, Option Pricing, Hull-White model, Trolle-Schwartz Model

6.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 22 Posted: 23 Mar 2018 Last Revised: 27 Sep 2018
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, Quaternion Risk Management, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 117 (246,546)
Citation 1

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

7.

Central Clearing and Systemic Risk

Number of pages: 35 Posted: 23 Dec 2019
Nikolai Nowaczyk and Sharyn O'Halloran
Quaternion Risk Management and Columbia University - School of International & Public Affairs
Downloads 34 (465,880)

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Central Clearing, Systemic Risk, Financial Regulation, Graph Model, Simulation, Data Science, Credit Risk

8.

The CV Makes the Difference - control variates for Neural Networks -

Number of pages: 12
Joerg Kienitz, Sarp Kaya Acar, Qian Liang and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 1

Abstract:

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machine learning, neural networks, control variates, Bermudan swaption, SABR, free SABR, Heston