Yannick Limmer

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

University of Oxford - Mathematical Institute

Radcliffe Observatory, Andrew Wiles Building

Woodstock Rd

Oxford, Oxfordshire OX2 6GG

United Kingdom

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

  • University of Oxford - Mathematical Institute

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Deep Kalman Filters Can Filter

Number of pages: 47 Posted: 27 Nov 2023
Blanka Horvath, Anastasis Kratsios, Yannick Limmer and Xuwei Yang
Mathematical Institute, University of Oxford and Oxford Man Institute, McMaster University, University of Oxford - Oxford-Man Institute of Quantitative Finance and McMaster University - Department of Mathematics & Statistics
Downloads 1,115 (42,609)

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Stochastic Filtering, Kalman Filter, Deep Kalman Filter, Machine Learning, Universal Approximation, Robust Filtering

2.

Robust Hedging GANs

Number of pages: 47 Posted: 26 Jun 2023
Yannick Limmer and Blanka Horvath
University of Oxford - Oxford-Man Institute of Quantitative Finance and Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 634 (91,119)
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Deep Hedging, Model Uncertainty, Knightian Uncertainty, Robust Optimization, Signature-MMD, Rough Paths, Generative Adversarial Networks

3.

Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models

Number of pages: 29 Posted: 08 Jul 2024
Raeid Saqur, Anastasis Kratsios, Blanka Horvath, Jacob-Junqi Tian, John Willes, Florian Krach, Yannick Limmer and Frank Rudzicz
University of Toronto - Department of Computer Science, McMaster University, Mathematical Institute, University of Oxford and Oxford Man Institute, Vector Institute for Artificial Intelligence, Vector Institute for Artificial Intelligence, ETH Zürich, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Toronto - Department of Computer Science
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