Nikolai Nowaczyk

Quaternion Risk Management

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 30,192

SSRN RANKINGS

Top 30,192

in Total Papers Downloads

1,685

SSRN CITATIONS
Rank 40,007

SSRN RANKINGS

Top 40,007

in Total Papers Citations

5

CROSSREF CITATIONS

11

Scholarly Papers (9)

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 799 (32,773)
Citation 14

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 Quaternion Risk Management
Downloads 182 (179,683)

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, Quaternion Risk Management and Quaternion Risk Management
Downloads 153 (208,551)
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.

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 150 (212,033)

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

5.

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 140 (224,165)
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

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 128 (240,457)
Citation 1

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

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 Quaternion Risk Management
Downloads 81 (327,417)
Citation 1

Abstract:

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

8.

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 41 (453,934)

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

9.

How Deep are Financial Models?

Number of pages: 13
Nikolai Nowaczyk, Joerg Kienitz, Sarp Kaya Acar and Qian Liang
Quaternion Risk Management, University of Wuppertal - Applied Mathematics, Quaternion Risk Management and Quaternion Risk Management
Downloads 11

Abstract:

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