Nikolai Nowaczyk

AcadiaSoft

Broadgate Quarter

One Snowden Street

London , EC2A 2DQ

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 27,342

SSRN RANKINGS

Top 27,342

in Total Papers Downloads

2,186

SSRN CITATIONS
Rank 38,096

SSRN RANKINGS

Top 38,096

in Total Papers Citations

9

CROSSREF CITATIONS

11

Scholarly Papers (10)

1.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
AcadiaSoft Inc., Quaternion Risk Management, Quaternion Risk Management and AcadiaSoft
Downloads 875 (33,091)
Citation 16

Abstract:

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

2.

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 AcadiaSoft
Downloads 268 (139,441)
Citation 1

Abstract:

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

3.

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, AcadiaSoft and Quaternion Risk Management
Downloads 175 (208,140)
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

4.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 21 Posted: 23 Mar 2018 Last Revised: 20 Jan 2021
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, AcadiaSoft, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 167 (216,608)
Citation 2

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

5.

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 AcadiaSoft
Downloads 153 (233,147)

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

6.

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, AcadiaSoft and Quaternion Risk Management
Downloads 148 (239,599)
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

7.

The CV Makes the Difference – Control Variates for Neural Networks

Number of pages: 12 Posted: 25 Feb 2020 Last Revised: 27 Apr 2020
Joerg Kienitz, Sarp Kaya Acar, Qian Liang and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and AcadiaSoft
Downloads 135 (257,974)
Citation 1

Abstract:

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

8.

How Deep are Financial Models?

Number of pages: 13 Posted: 16 Jul 2020
Nikolai Nowaczyk, Joerg Kienitz, Sarp Kaya Acar and Qian Liang
AcadiaSoft, University of Wuppertal - Applied Mathematics, Quaternion Risk Management and Quaternion Risk Management
Downloads 114 (291,998)

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neural networks, model validation, SR 11-7, derivatives, risk management, pricing

9.

Dynamically Controlled Kernel Estimation

Number of pages: 17 Posted: 20 Apr 2021
Joerg Kienitz, Nikolai Nowaczyk and Nancy(Qingxin) Geng
University of Wuppertal - Applied Mathematics, AcadiaSoft and Imperial College London - Department of Mathematics
Downloads 93 (334,616)

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Gaussian process regression, control variates, kernel density estimation, Monte Carlo, regression, exposure, hedging, machine learning

10.

Central Clearing and Systemic Risk

Number of pages: 35 Posted: 23 Dec 2019
Nikolai Nowaczyk and Sharyn O'Halloran
AcadiaSoft and Columbia University - School of International & Public Affairs
Downloads 58 (434,991)

Abstract:

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