39 citations · 52 across the 6 of their papers we have counts for
6 papers
The AI Revolution: Opportunities and Challenges for the Finance Sector
Carsten Maple, Lukasz Szpruch, Gregory Epiphaniou +7
This report examines Artificial Intelligence (AI) in the financial sector, outlining its potential to revolutionise the industry and identify its challenges. It underscores the cri…
Insurance pricing on price comparison websites via reinforcement learning
Tanut Treetanthiploet, Yufei Zhang, Lukasz Szpruch +4
The emergence of price comparison websites (PCWs) has presented insurers with unique challenges in formulating effective pricing strategies. Operating on PCWs requires insurers to…
Inefficiency of CFMs: hedging perspective and agent-based simulations
Samuel Cohen, Marc Sabaté Vidales, David Šiška +1
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem thro…
Decaying derivative estimates for functions of solutions to non-autonomous SDEs
Maria Lefter, David Šiška, Łukasz Szpruch
We produce uniform and decaying bounds in time for derivatives of the solution to the backwards Kolmogorov equation associated to a stochastic processes governed by a time dependen…
Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex models
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
We develop a probabilistic framework for analysing model-based reinforcement learning in the episodic setting. We then apply it to study finite-time horizon stochastic control prob…
Multilevel Monte Carlo for Scalable Bayesian Computations
Mike Giles, Tigran Nagapetyan, Lukasz Szpruch +2
Markov chain Monte Carlo (MCMC) algorithms are ubiquitous in Bayesian computations. However, they need to access the full data set in order to evaluate the posterior density at eve…