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Ralf Korn

Sig-Splines: universal approximation and convex calibration of time series generative models

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Jul 19, 2023
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Multi-Asset Spot and Option Market Simulation

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Dec 13, 2021
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Estimating the Value-at-Risk by Temporal VAE

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Dec 03, 2021
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A Generalised Linear Model Framework for Variational Autoencoders based on Exponential Dispersion Families

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Jun 11, 2020
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A lower bound for the ELBO of the Bernoulli Variational Autoencoder

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Mar 26, 2020
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Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies

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Sep 05, 2019
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Quant GANs: Deep Generation of Financial Time Series

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Jul 15, 2019
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Copula & Marginal Flows: Disentangling the Marginal from its Joint

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Jul 07, 2019
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