Alexei Kondratyev

Abu Dhabi Investment Authority

Quantitative Research & Development Lead

Abu Dhabi

United Arab Emirates

SCHOLARLY PAPERS

9

DOWNLOADS

6,010

SSRN CITATIONS

12

CROSSREF CITATIONS

10

Scholarly Papers (9)

1.

Learning Curve Dynamics with Artificial Neural Networks

Number of pages: 18 Posted: 25 Sep 2017 Last Revised: 15 May 2018
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 2,249 (8,292)
Citation 9

Abstract:

Loading...

Artificial Neural Networks, Term Structure, Curve Dynamics

2.

The Market Generator

Number of pages: 16 Posted: 31 May 2019 Last Revised: 28 Jan 2020
Alexei Kondratyev and Christian Schwarz
Abu Dhabi Investment Authority and affiliation not provided to SSRN
Downloads 1,567 (14,822)
Citation 12

Abstract:

Loading...

Restricted Boltzmann Machine, non-parametric sampling, generation of market scenarios, complex dependence structures

3.

MVA Optimisation with Machine Learning Algorithms

Number of pages: 15 Posted: 23 Feb 2017 Last Revised: 14 Dec 2017
Alexei Kondratyev and George Giorgidze
Abu Dhabi Investment Authority and Standard Chartered Bank
Downloads 1,082 (25,885)
Citation 2

Abstract:

Loading...

MVA, Machine Learning, Genetic Algorithm, Particle Swarm Optimisation, MVA Optimisation

4.

Data Anonymisation, Outlier Detection and Fighting Overfitting with Restricted Boltzmann Machines

Number of pages: 27 Posted: 24 Feb 2020
Alexei Kondratyev, Christian Schwarz and Blanka Horvath
Abu Dhabi Investment Authority, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 479 (76,606)
Citation 4

Abstract:

Loading...

Restricted Boltzmann Machine, non-parametric sampling, synthetic data generation, data anonymisation, detection of outliers, reduction of overfitting

5.

Non-Differentiable Learning of Quantum Circuit Born Machine with Genetic Algorithm

Number of pages: 20 Posted: 28 Apr 2020 Last Revised: 11 May 2020
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 222 (176,031)
Citation 1

Abstract:

Loading...

Generative Models, Quantum Circuit Born Machine, Genetic Algorithm, Restricted Boltzmann Machine, Parametrized Quantum Circuit

6.

Naive Monte Carlo

Number of pages: 11 Posted: 25 Nov 2011 Last Revised: 25 Jul 2017
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 170 (223,678)

Abstract:

Loading...

Monte Carlo Simulation, Risk Engine, Quanto Adjustment, Counterparty Exposure, Regulatory Capital

7.

FX Volatility Adjustment for Risk Factors Simulation

Number of pages: 13 Posted: 14 Nov 2011 Last Revised: 25 Jul 2017
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 150 (248,421)

Abstract:

Loading...

Monte Carlo Simulation, Risk Engine, Volatility Adjustment, Counterparty Exposure

8.

Quantum Machine Learning (Presentation Slides)

Number of pages: 28 Posted: 15 Jun 2021
Alexei Kondratyev
Abu Dhabi Investment Authority
Downloads 67 (423,275)

Abstract:

Loading...

Quantum Machine Learning, Quantum Neural Network, Quantum Circuit Born Machine

9.

A Quantum Generative Adversarial Network for distributions

Number of pages: 19 Posted: 05 Oct 2021
Amine Assouel, Antoine (Jack) Jacquier and Alexei Kondratyev
École normale supérieure Paris-Saclay, Imperial College London and Abu Dhabi Investment Authority
Downloads 24 (622,568)

Abstract:

Loading...

Quantum Computing, GAN, Quantum Phase Estimation, SVI, volatility