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Robust pricing and hedging via neural SDEs

Jul 08, 2020
Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška, Lukasz Szpruch, Žan Žurič


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Conditional Sig-Wasserstein GANs for Time Series Generation

Jun 09, 2020
Hao Ni, Lukasz Szpruch, Magnus Wiese, Shujian Liao, Baoren Xiao


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Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks

May 19, 2019
Kaitong Hu, Zhenjie Ren, David Siska, Lukasz Szpruch

* 29 pages 

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Martingale Functional Control variates via Deep Learning

Oct 11, 2018
Marc Sabate Vidales, David Siska, Lukasz Szpruch


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Non-asymptotic bounds for sampling algorithms without log-concavity

Sep 20, 2018
Mateusz B. Majka, Aleksandar Mijatović, Lukasz Szpruch

* 45 pages, some minor corrections 

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Multilevel Monte Carlo for Scalable Bayesian Computations

Sep 15, 2016
Mike Giles, Tigran Nagapetyan, Lukasz Szpruch, Sebastian Vollmer, Konstantinos Zygalakis


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Multi Level Monte Carlo methods for a class of ergodic stochastic differential equations

Jul 31, 2016
Lukasz Szpruch, Sebastian Vollmer, Konstantinos Zygalakis, Michael B. Giles

* 30 pages, 6 figures 

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