Optimally weighted loss functions for solving PDEs with neural networks R. van der Meer, C.W. Oosterlee, A. Borovykh Submitted

On Calibration Neural Networks for extracting implied information from American options S. Liu, A. Leitao, A. Borovykh, C.W. Oosterlee Submitted

Analytic expressions for the output evolution of a deep neural network A. Borovykh Submitted


The effects of optimization on generalization in infinitely wide neural networks A. Borovykh ICML 2019 Workshop on Understanding and Improving Generalization in Deep Learning

A neural network-based framework for financial model calibration S. Liu, A. Borovykh, L. A. Grzelak, C.W. Oosterlee, To appear in Journal of Mathematics in Industry, 2019

Generalization in fully-connected neural networks for time series forecasting A. Borovykh, S. Bohte, C.W. Oosterlee, To appear in Journal of Computational Science, 2019


A Gausian Process perspective on Convolutional Neural Networks A. Borovykh, 2018

Systemic risk in a mean-field model of interbank lending with self-exciting shocks A. Borovykh, A. Pascucci, S. La Rovere, IISE Transactions 50(9), pp. 806-819, 2018

Conditional time series forecasting with convolutional neural networks A. Borovykh, S. Bohte, C.W. Oosterlee, Journal of Computational Finance, 2018

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models A. Borovykh, A. Pascucci, C.W. Oosterlee, SIAM Journal on Financial Mathematics 9 (1), 251-273, 2018


Pricing Bermudan options under local Lévy models with default A. Borovykh, A. Pascucci, C.W. Oosterlee Journal of Mathematical Analysis and Applications 459 (2), 929-953, 2017