Alexei Kondratyev

Standard Chartered Bank

Managing Director

1 Basinghall Avenue

London, EC2V 5DD

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

4,931

SSRN CITATIONS

13

CROSSREF CITATIONS

10

Scholarly Papers (7)

1.

Learning Curve Dynamics with Artificial Neural Networks

Number of pages: 18 Posted: 25 Sep 2017 Last Revised: 15 May 2018
Alexei Kondratyev
Standard Chartered Bank
Downloads 1,975 (9,067)
Citation 8

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
Standard Chartered Bank and affiliation not provided to SSRN
Downloads 1,134 (21,569)
Citation 11

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
Standard Chartered Bank and Standard Chartered Bank
Downloads 1,023 (25,029)
Citation 2

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
Standard Chartered Bank, affiliation not provided to SSRN and ETH Z├╝rich - Department of Mathematics
Downloads 353 (99,287)
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.

Naive Monte Carlo

Number of pages: 11 Posted: 25 Nov 2011 Last Revised: 25 Jul 2017
Alexei Kondratyev
Standard Chartered Bank
Downloads 160 (215,044)

Abstract:

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

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
Standard Chartered Bank
Downloads 146 (233,259)

Abstract:

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

7.

FX Volatility Adjustment for Risk Factors Simulation

Number of pages: 13 Posted: 14 Nov 2011 Last Revised: 25 Jul 2017
Alexei Kondratyev
Standard Chartered Bank
Downloads 140 (240,025)

Abstract:

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