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Lukasz Szpruch

University of Edinburgh - School of Mathematics

James Clerk Maxwell Building

Peter Guthrie Tait Rd

Edinburgh, EH9 3FD

United Kingdom

The Alan Turing Institute

British Library, 96 Euston Road

96 Euston Road

London, NW12DB

United Kingdom

  • University of Edinburgh - School of Mathematics

  • The Alan Turing Institute

SCHOLARLY PAPERS

17

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TOTAL CITATIONS
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Top 33,482

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101

Scholarly Papers (17)

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1.

Towards Algorithm Auditing: A Survey on Managing Legal, Ethical and Technological Risks of AI, ML and Associated Algorithms

Number of pages: 31 Posted: 15 Feb 2021
Adriano Koshiyama, Emre Kazim, Philip Treleaven, Pete Rai, Lukasz Szpruch, Giles Pavey, Ghazi Ahamat, Franziska Leutner, Randy Goebel, Andrew Knight, Janet Adams, Christina Hitrova, Jeremy Barnett, Parashkev Nachev, David Barber, Tomas Chamorro-Premuzic, Konstantin Klemmer, Miro Gregorovic, Shakeel Khan and Elizabeth Lomas
Department of Computer Science, University College London, Holistic AI, University College London, Cisco Systems, University of Edinburgh - School of Mathematics, Unilever - Unilever PLC London, Centre for Data Ethics and Innovation, University College London, University of Alberta, Royal Institution of Chartered Surveyors, Ainstein AI, Technical University Munich, Resilience Partners, University College London, University College London, University of London - Department of Psychology, University of Warwick, London Stock Exchange, ValidateAI and University College London
Downloads 5,873 (3,508)
Citation 76

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Robustness, Explainability, Privacy, Bias, Fairness, Transparency, Accountability, Governance, Compliance

2.

Scalable Runtime Governance for Agentic AI in Financial Services

Number of pages: 24 Posted: 25 Apr 2026
Lukasz Szpruch, Agus Sudjianto, Tanveer Bhatti and Gary Ang
University of Edinburgh - School of Mathematics, University of North Carolina, Independent and Quaintitative
Downloads 2,712 (15,148)

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3.

Move Fast without Breaking the Bank  Model Risk Management of GenAI workflows

Number of pages: 36 Posted: 03 Nov 2025
Matthew Wicker, Lukasz Szpruch and Søren Mørk
Imperial College London, University of Edinburgh - School of Mathematics and Accenture
Downloads 1,264 (41,665)

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4.

Insuring AI: Incentivising Safe and Secure Deployment of AI Workflows

Number of pages: 13 Posted: 25 Sep 2025
Lukasz Szpruch, Agni Orfanoudaki, Carsten Maple, Matthew Wicker, Yoshua Bengio, Kwok-Yan Lam and Marcin Detyniecki
University of Edinburgh - School of Mathematics, University of Oxford - Said Business School, University of Warwick, Imperial College London, University of Montreal - Department of Informatics and Operations Research, Nanyang Technological University (NTU) and AXA Group
Downloads 945 (79,525)

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5.

Black-Box Model Risk in Finance

Number of pages: 31 Posted: 19 Mar 2021
Samuel N. Cohen, Derek Snow and Lukasz Szpruch
University of Oxford - Mathematical Institute, New York University (NYU) - Finance and Risk Engineering Department and University of Edinburgh - School of Mathematics
Downloads 923 (63,702)

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Neural Networks, derivative pricing, hedging, model risk, data cleaning, quantitative finance, data-driven models, market generators, uncertainty, reinforcement learning, sensitivity, adversarial attacks, robustness, expert design

6.

Strategic Bonding Curves in Automated Market Makers

Forthcoming in Mathematics of Operations Research
Number of pages: 40 Posted: 26 Nov 2024 Last Revised: 29 Jun 2026
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, Oxford-Man Institute, University of Oxford, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 778 (83,613)
Citation 2

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs, Uniswap v4, hooks

7.

Automated Market Makers Designs Beyond Constant Functions

Forthcoming in Mathematics of Operations Research
Number of pages: 40 Posted: 25 May 2023 Last Revised: 30 Jun 2026
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, Oxford-Man Institute, University of Oxford, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 740 (85,898)
Citation 9

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs

8.

Interest Rate Models in Decentralised Lending Protocols

Number of pages: 17 Posted: 01 Dec 2023 Last Revised: 17 Jun 2026
Samuel N. Cohen, Leandro Sánchez-Betancourt and Lukasz Szpruch
University of Oxford - Mathematical Institute, Mathematical Institute, University of Oxford and University of Edinburgh - School of Mathematics
Downloads 551 (131,215)
Citation 2

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decentralised lending protocols, interest rate models, utilisation, PID controller

9.

Deep Learning in Finance: From Implementation to Regulation

Number of pages: 7 Posted: 20 Apr 2022
Louis Bertucci, Marie Briere, Olivier Fliche, Joseph Mikael and Lukasz Szpruch
Institut Louis Bachelier, Amundi Asset Management, French Banking Supervisory Authority, EDF Energy and University of Edinburgh - School of Mathematics
Downloads 537 (130,010)

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AI, deep learning, regulation, explainability

10.

Robust Pricing and Hedging via Neural SDEs

Number of pages: 34 Posted: 05 Aug 2020
Patryk Gierjatowicz, Marc Sabate-Vidales, David Siska, Lukasz Szpruch and Zan Zuric
University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and Kaiju Capital Management
Downloads 514 (138,214)
Citation 2

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Stochastic Differential Equations, Deep Neural Network, Derivative Pricing, Stochastic Gradient Descent

11.

Leveraged Trading Via Lending Platforms

Number of pages: 18 Posted: 18 Feb 2024
Lukasz Szpruch, Jiahua Xu, Marc Sabate-Vidales and Kamel Aouane
University of Edinburgh - School of Mathematics, University College London - Department of Computer Science, University of Edinburgh - School of Mathematics and Contango.xyz
Downloads 500 (145,936)
Citation 1

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Cryptocurrency, decentralized finance, lending protocols, perpetual futures, arbitrage.

12.

Towards AI Standards: Thought-Leadership in Ai Legal, Ethical and Safety Specifications Through Experimentation

Number of pages: 28 Posted: 05 Oct 2021 Last Revised: 11 Nov 2021
Roseline Polle, Emre Kazim, Graca Carvalho, Adriano Koshiyama, Catherine Inness, Andrew Knight, Caroline Gorski, David Barber, Elizabeth Lomas, Emine Yilmaz, Gary Thompson, Ghazi Ahamat, Giles Pavey, Katherine Platts, Lukasz Szpruch, Miro Gregorovic, Miguel Rodrigues, Pam Ugwudike, Parashkev Nachev, Pete Rai, Philip Treleaven and Randy Goebel
University College London, Holistic AI, University College London, Department of Computer Science, University College London, University College London, Royal Institution of Chartered Surveyors, Rolls-Royce plc., University College London, University College London, University College London, Big Innovation Centre, Centre for Data Ethics and Innovation, Unilever - Unilever PLC London, Unilever, University of Edinburgh - School of Mathematics, London Stock Exchange, University College London, University of Southampton, University College London, Cisco Systems, University College London and University of Alberta
Downloads 465 (154,619)
Citation 2

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Artificial Intelligence, Ethics, Risk-Management, Robustness, Privacy, Fairness, Explainability, Auditability, Risk, Assessment

13.

Conditional Sig-Wasserstein GANs for Time Series Generation

Number of pages: 32 Posted: 02 Jul 2020
Hao Ni, Lukasz Szpruch, Magnus Wiese, Shujian Liao and Baoren Xiao
University College London - Department of Mathematics, University of Edinburgh - School of Mathematics, affiliation not provided to SSRN, University College London - Department of Mathematics and University College London - Department of Mathematics
Downloads 429 (170,272)
Citation 1

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Conditional Generative Adversarial Network, Neural Networks, Time Series, Rough Path Theory, Generative Modelling, Wasserstein Distance, Mathematical Finance, Signatures

14.

The Paradox of Adversarial Liquidation in Decentralised Lending

Number of pages: 23 Posted: 14 Aug 2023
Samuel N. Cohen, Marc Sabate-Vidales, Lukasz Szpruch and Mathis Gontier Delaunay
University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and Morpho Labs
Downloads 419 (173,635)
Citation 3

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decentralised finance, smart contracts, risk managment

15.

A Limit Order Book Model for Latency Arbitrage

Number of pages: 28 Posted: 21 Oct 2011
Samuel N. Cohen and Lukasz Szpruch
University of Oxford - Mathematical Institute and University of Edinburgh - School of Mathematics
Downloads 345 (219,135)
Citation 1

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limit order book, latency arbitrage, high-frequency trading, Tobin tax

16.

Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations

Number of pages: 11 Posted: 10 Feb 2023
Samuel N. Cohen, Marc Sabate-Vidales, David Siska and Lukasz Szpruch
University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 152 (488,442)
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17.

Competitive pricing using model-based bandits

Number of pages: 52 Posted: 10 Apr 2024 Last Revised: 06 Dec 2024
Lukasz Sliwinski, Tanut Treetanthiploet, David Siska and Lukasz Szpruch
University of Edinburgh - School of Mathematics, University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 132 (554,631)

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algorithmic pricing, multi-armed bandits, pricing game