Alexei Kondratyev

Abu Dhabi Investment Authority

Quantitative Research & Development Lead

Abu Dhabi

United Arab Emirates

SCHOLARLY PAPERS

11

DOWNLOADS

9,405

SSRN CITATIONS

17

CROSSREF CITATIONS

10

Scholarly Papers (11)

1.

Learning Curve Dynamics with Artificial Neural Networks

Number of pages: 18 Posted: 25 Sep 2017 Last Revised: 15 May 2018
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 3,217 (7,090)
Citation 9

Abstract:

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Artificial Neural Networks, Term Structure, Curve Dynamics

2.

The Market Generator

Number of pages: 16 Posted: 31 May 2019 Last Revised: 28 Jan 2020
Alexei Kondratyev and Christian Schwarz
Abu Dhabi Investment Authority and affiliation not provided to SSRN
Downloads 2,537 (10,299)
Citation 12

Abstract:

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Restricted Boltzmann Machine, non-parametric sampling, generation of market scenarios, complex dependence structures

3.

MVA Optimisation with Machine Learning Algorithms

Number of pages: 15 Posted: 23 Feb 2017 Last Revised: 14 Dec 2017
Alexei Kondratyev and George Giorgidze
Abu Dhabi Investment Authority and Standard Chartered Bank
Downloads 1,213 (32,157)
Citation 3

Abstract:

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MVA, Machine Learning, Genetic Algorithm, Particle Swarm Optimisation, MVA Optimisation

4.

Data Anonymisation, Outlier Detection and Fighting Overfitting with Restricted Boltzmann Machines

Number of pages: 27 Posted: 24 Feb 2020
Alexei Kondratyev, Christian Schwarz and Blanka Horvath
Abu Dhabi Investment Authority, affiliation not provided to SSRN and Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 747 (63,160)
Citation 4

Abstract:

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Restricted Boltzmann Machine, non-parametric sampling, synthetic data generation, data anonymisation, detection of outliers, reduction of overfitting

5.

Quantum Machine Learning (Presentation Slides)

Number of pages: 28 Posted: 15 Jun 2021
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 656 (74,779)

Abstract:

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Quantum Machine Learning, Quantum Neural Network, Quantum Circuit Born Machine

6.

Non-Differentiable Learning of Quantum Circuit Born Machine with Genetic Algorithm

Number of pages: 20 Posted: 28 Apr 2020 Last Revised: 11 May 2020
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 370 (148,701)
Citation 3

Abstract:

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Generative Models, Quantum Circuit Born Machine, Genetic Algorithm, Restricted Boltzmann Machine, Parametrized Quantum Circuit

7.

Naive Monte Carlo

Number of pages: 11 Posted: 25 Nov 2011 Last Revised: 25 Jul 2017
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 218 (255,713)

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Monte Carlo Simulation, Risk Engine, Quanto Adjustment, Counterparty Exposure, Regulatory Capital

8.

FX Volatility Adjustment for Risk Factors Simulation

Number of pages: 13 Posted: 14 Nov 2011 Last Revised: 25 Jul 2017
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 201 (275,578)

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Monte Carlo Simulation, Risk Engine, Volatility Adjustment, Counterparty Exposure

9.

A Quantum Generative Adversarial Network for distributions

Number of pages: 19 Posted: 05 Oct 2021
Amine Assouel, Antoine (Jack) Jacquier and Alexei Kondratyev
École normale supérieure Paris-Saclay, Imperial College London and Abu Dhabi Investment Authority
Downloads 118 (428,134)
Citation 3

Abstract:

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Quantum Computing, GAN, Quantum Phase Estimation, SVI, volatility

10.

Quantum Computing for Financial Mathematics

Number of pages: 5 Posted: 01 Dec 2023
Imperial College London, Abu Dhabi Investment Authority, Lloyds Banking Group and no affiliation
Downloads 95 (502,590)

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quantum computing, quantitative finance, option pricing, machine learning, optimisation

11.

Quantum Two-Sample Test for Investment Strategies

Number of pages: 28
David Garvin, Alexei Kondratyev, Alexander Lipton and Marco Paini
affiliation not provided to SSRN, Abu Dhabi Investment Authority, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 33

Abstract:

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density matrix, financial time series, Frobenius distance, maximum mean discrepancy, parameterised quantum circuit, quantum computing, two-sample test