Roman Werpachowski
Publications by Year
Research Areas
Financial Risk and Volatility Modeling, Stochastic processes and financial applications, Matrix Theory and Algorithms, Credit Risk and Financial Regulations, demographic modeling and climate adaptation
Most-Cited Works
- → Universality of affine formulation in general relativity(2007)36 cited
- → Learning to Play No-Press Diplomacy with Best Response Policy Iteration(2020)18 cited
- → Detecting Overfitting via Adversarial Examples(2019)7 cited
- → On the approximation of real powers of sparse, infinite, bounded and Hermitian matrices(2007)4 cited
- → Random Recovery for Both CDOs and First-to-Default Baskets(2009)1 cited
- → Cross-sectional Markov model for trend analysis of observed discrete distributions of population characteristics(2015)1 cited
- → Accurate and Fast Integration Over the Market Factor in One-Factor Gaussian Copula CDO Model(2009)1 cited
- → Arbitrage-Free Rate Interpolation Scheme for Libor Market Model with Smooth Volatility Term Structure(2010)1 cited
- → Credit-IR-FX Hybrid Derivatives without Stochastic Hazard Rates(2012)
- → Comment on the energy spectrum of Tonks-Girardeau gas(2005)