Alexei Kondratyev

Abu Dhabi Investment Authority

Quantitative Research & Development Lead

Abu Dhabi

United Arab Emirates

SCHOLARLY PAPERS

9

DOWNLOADS

6,951

SSRN CITATIONS

12

CROSSREF CITATIONS

10

Scholarly Papers (9)

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 2,559 (7,524)
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 1,911 (12,053)
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 1,118 (27,122)
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 ETH Zürich - Department of Mathematics
Downloads 570 (67,624)
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.

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 249 (170,450)
Citation 1

Abstract:

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

6.

Naive Monte Carlo

Number of pages: 11 Posted: 25 Nov 2011 Last Revised: 25 Jul 2017
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 182 (227,650)

Abstract:

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

7.

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 157 (258,009)

Abstract:

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

8.

Quantum Machine Learning (Presentation Slides)

Number of pages: 28 Posted: 15 Jun 2021
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 156 (259,333)

Abstract:

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

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 49 (524,309)

Abstract:

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