Publications

2019

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

2018

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

2017

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