Lukasz Szpruch

University of Edinburgh - School of Mathematics

James Clerk Maxwell Building

Peter Guthrie Tait Rd

Edinburgh, EH9 3FD

United Kingdom

SCHOLARLY PAPERS

7

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3,955

SSRN CITATIONS
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SSRN RANKINGS

Top 47,210

in Total Papers Citations

7

CROSSREF CITATIONS

7

Scholarly Papers (7)

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
Department of Computer Science, University College London, University College London, 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, University College London, University College of London, University College London, University of London - Department of Psychology, University of Warwick, London Stock Exchange, ValidateAI and University College London
Downloads 2,435 (8,092)
Citation 19

Abstract:

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

2.

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, The Alan Turing Institute and University of Edinburgh - School of Mathematics
Downloads 578 (66,117)

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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

3.

Robust Pricing and Hedging via Neural SDEs

Number of pages: 34 Posted: 05 Aug 2020
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 Imperial College London - Department of Mathematics
Downloads 252 (168,261)
Citation 2

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

4.

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
University College London, University College London, 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 of London, Cisco Systems, University College London and University of Alberta
Downloads 219 (192,318)

Abstract:

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

5.

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 218 (193,181)
Citation 1

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

6.

Conditional Sig-Wasserstein GANs for Time Series Generation

Number of pages: 32 Posted: 02 Jul 2020
University College London - Department of Mathematics, University of Edinburgh - School of Mathematics, University of Kaiserslautern - Department of Mathematics, University College London - Department of Mathematics and University College London - Department of Mathematics
Downloads 184 (225,136)
Citation 1

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

7.

Deep Learning in Finance: From Implementation to Regulation

Number of pages: 7 Posted: 20 Apr 2022
Institut Louis Bachelier, Amundi Asset Management, French Banking Supervisory Authority, EDF Energy and University of Edinburgh - School of Mathematics
Downloads 69 (445,841)

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AI, deep learning, regulation, explainability