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Preprints (1)
- Kienitz, Jörg; Acar, Sarp Kaya; Liang, Qian; Nowaczyk, Nikolai. The CV Makes the Difference – Control Variates for Neural Networks, 01/2020, https://ssrn.com/abstract=3527314
Peer-Reviewed Articles (15)
- Nowaczyk, Nikolai; Piterbarg, Vladimir V. Backtesting Correlated Quantities, 09/2023, https://ssrn.com/abstract=4571812, RISK.net 09/2024, Podcast
- Nowaczyk, Nikolai. O’Halloran, Sharyn. Computing the impact of central clearing on systemic risk, Front. Artif. Intell., 21 February 2024, https://doi.org/10.3389/frai.2024.1138611, https://ssrn.com/abstract=3500442
- McWalter, Thomas A.; Kienitz, Jörg; Nowaczyk, Nikolai; Rudd, Ralph; Acar, Sarp K.. Dynamic Initial Margin Estimation Based on Quantiles of
Johnson Distributions, Journal of Credit Risk, 2022.012, DOI: 10.21314/JCR.2022.012, http://ssrn.com/abstract=3147811
- Lee, Gordon; Kienitz, Jörg; Nowaczyk, Nikolai; Geng, Qingxin. Dynamically Controlled Kernel Estimation, RISK 02/2022 , https://ssrn.com/abstract=3829701
- Nowaczyk, Nikolai; Kienitz, Jörg; Acar, Sarp Kaya; Liang, Qian. How deep is your model? Network Topology Selection from a Model Validation Perspective, 01/2022, J.Math.Industry 12, 1 (2022), https://ssrn.com/abstract=3634232
- Kienitz, Jörg. Acar, Sarp Kaya. Liang, Qian. Nowaczyk, Nikolai. Deep Option Pricing – Term Structure Models, Journal of Machine Learning in Finance, 2020, Vol. 1, https://ssrn.com/abstract=3498398
- Virtanen, Pauli, Gommers, Ralf, Oliphant, Travis E. et al. SciPy 1.0: fundamental algorithms for scientific computing in Python, Nat Methods 17, 261–272 (2020). https://doi.org/10.1038/s41592-019-0686-2
- O’Halloran, Sharyn. Nowaczyk, Nikolai. The Impact of Regulation on Systemic Risk. In: O’Halloran, Sharyn. Groll, Thomas. After the Crash, Columbia University Press, 10/2019
- O’Halloran, Sharyn; Nowaczyk, Nikolai; Gallagher, Donal A., Subramaniam, Vivek. A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk, 12/2017. In: Karampelas, Panagiotis; Kawash, Jalal; Ozye, Tansel: From Security to Community Detection in Social Networking Platforms, p. 171-192, ASONAM 2017, Lecture Notes in Social Networks, 04/2019, Springer. https://ssrn.com/abstract=3090617
- O’Halloran, Sharyn; Nowaczyk, Nikolai; Gallagher, Donal A.. Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System, Proceedings of the 2017 IEEE/ACM International Conference on Advances in Social Networks Analysis and Mining 2017, ASONAM ’17, p. 1056–1064, 05/2017. https://ssrn.com/abstract=2977515
- Caspers, Peter; Giltinan, Paul; Lichters, Roland; Nowaczyk , Nikolai. Forecasting Initial Margin Requirements – A Model Evaluation, Journal of Risk Management in Financial Institutions, Vol. 10 (2017), No. 4, 02/2017. https://ssrn.com/abstract=2911167
- Reddy, Tyler; Hemsley, Ross; Edmondson, Edd; Nowaczyk, Nikolai; Pitt-Francis; Joe Sansom, Mark S.P. VENI, VIDI, Voronoi: Attacking Viruses with Spherical Voronoi Diagrams, Biophysical Journal, Vol. 110, Issue 3, Supp. 1, 36A, 02/2016. DOI:https://doi.org/10.1016/j.bpj.2015.11.263
- Müller, Olaf; Nowaczyk, Nikolai. A universal spinor bundle and the Einstein-Dirac-Maxwell equation as a variational theory, Lett Math Phys 107, 933–961 (2017), SpringerNature SharedIt, arXiv:1504.01034 [math.DG]
- Nowaczyk, Nikolai. Existence of Dirac eigenvalues of higher multiplicity, Math. Z. (2016) 284: 285., arXiv:1504.00961 [math.DG]
- Nowaczyk, Nikolai. Continuity of Dirac Spectra, Ann. Glob. Anal. Geom., Volume 44, Issue 4, 2013, p. 541-563., arXiv:1303.6561 [math.DG]
Thesis (2)
Other publications (6)
- O’Halloran, Sharyn; Nowaczyk, Nikolai. An Artificial Intelligence Approach to Regulating Systemic Risk, Front. Artif. Intell., 29 May 2019, DOI:10.3389/frai.2019.00007
- Nowaczyk, Nikolai. The Willmore Conjecture, Snapshots of modern mathematics from Oberwolfach, No. 11/2016
- Nowaczyk, Nikolai. Dirac Eigenvalues of Higher Multiplicity, Oberwolfach Report No. 36/2014, Analysis, Geometry and Topology of Positive Scalar Curvature Metrics, DOI: 10.4171/OWR/2014/36
- Coskun, E. and Elson, T. and Lim, S. and Matthews, J. and Morris, G. and Nowaczyk, N. and Raanes, P. N. and Wind, D. K. Gabor Filter Selection and Computational Processing for Emotion Recognition. 2014, European Study Group with Industry 100
- Kienitz, Jörg; Nowaczyk, Nikolai. Affine Recursion Problem and a General Framework for Adjoint Methods for Calculating Sensitivities for Financial Instruments, SSRN, 11/2011
- Nowaczyk, Nikolai. Bau eines dreidimensionalen Fraktals. Junge Wissenschaft, Heft 74, 21. Jahrgang, Ausgabe 01/06, Jugend forscht-Arbeit
Invited talks (31)
- Nowaczyk, Nikolai. Computing the impact of central clearing on systemic risk – a generative approach, QuantMinds London, 11/2024, slides
- Nowaczyk, Nikolai. Stimmt mein Modell?, Effektenparkett, Hochschule für Wirtschaft und Umwelt Nürtingen, 11/2024
- Nowaczyk, Nikolai. Piterbarg, Vladimir. Backtesting with correlated data, Frontiers in Quantitative Finance. Mathematical Institute, University of Oxford. London, 10/2024, slides
- Nowaczyk, Nikolai. Piterbarg, Vladimir. Hypothesis Testing on Correlated Data, WBS Quantitative Finance Conference, Cannes, 09/2024
- Nowaczyk, Nikolai. Counterparty Credit Risk – Grundlagen und aktuelle Themen, Effektenparkett, Hochschule für Wirtschaft und Umwelt Nürtingen, 12/2023
- Nowaczyk, Nikolai. Piterbarg, Vladimir. Backtesting Correlated Quantities, Quant Summit Europe, 12/2023, London
- Nowaczyk, Nikolai. Piterbarg, Vladimir. Backtesting Correlated Quantities, PRA Research Seminar, 11/2023, Bank of England, London
- Nowaczyk, Nikolai. Should we backtest using overlapping samples?, WBS Quantitative Finance Conference, 09/2023, Valencia
- Nowaczyk, Nikolai. Dynamically Controlled Kernel Estimation , Technische Universität München, Machine Learning in Finance, 06/2021
- Kienitz, Jörg; Nowaczyk, Nikolai. Machine Learning for Option Pricing Masterclass (2 days workshop), AIFMRM Masterclass, Johannesburg, 03/2020, slides
- Nowaczyk, Nikolai Mathematik gegen Finanzkrisen, Universität Regensburg, Berufspraktisches Kolloquium der Fakultät für Mathematik, 12/2019
- Kienitz, Jörg; Nowaczyk, Nikolai. Machine Learning for Option Pricing (1 day workshop), WBS Quantitative Finance Conference, Rome 2019, slides, jupyter notebooks
- Nowaczyk, Nikolai. Understanding the Impact of Regulation on Systemic Risk with ORE, Open Source Risk User Meeting 2018.
- Nowaczyk, Nikolai. A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk, Practitioners’ Lecture Series: Hot Topics from the Industry, The Impact of Financial Regulations on Counterparty Credit Exposure, King’s College, 11/2018
- McWalter, Thomas; Kienitz, Jörg; Nowaczyk, Nikolai; Rudd, Ralph; Acar, Sarp K.. Dynamic Initial Margin Estimation based on Quantiles of Johnson Distributions, WBS Quantitative Finance Conference, Nice 2018
- McWalter, Thomas; Kienitz, Jörg; Nowaczyk, Nikolai; Rudd, Ralph; Acar, Sarp K.. Dynamic Initial Margin Estimation based on Quantiles of Johnson Distributions, 10th World Congress of the Bachelier Finance Society, Dublin 2018
- O’Halloran, Sharyn; Nowaczyk, Nikolai; Gallagher, Donal A..; Subramaniam, Vivek. A Data Science Approach to Systemic Risk, PyData London 2018, Youtube Recording.
- O’Halloran, Sharyn; Nowaczyk, Nikolai; Gallagher, Donal A..; Subramaniam, Vivek. A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk, Columbia University Data Science Day 2018.
- O’Halloran, Sharyn; Nowaczyk, Nikolai; Gallagher, Donal A.. Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System, The IEEE/ACM International Conference on Advances in Social Networks Analysis and Mining, Sydney 08/2017
- Nowaczyk, Nikolai. A Universal Spinor Bundle and Applications to the Calculus of Variations of Spinorial Equations, Humboldt-Universität zu Berlin, Institut für Mathematik, 07/2017
- Nowaczyk, Nikolai. Systemic Risk and the Open Source Risk Engine, School of International Public Affairs, Columbia University, New York,
04/2017
- Nowaczyk, Nikolai. Spherical Voronoi Diagrams in Python, PyData London 2016, 05/2016, Youtube Recording
- Nowaczyk, Nikolai. Dirac Eigenvalues of higher Multiplicity, Geometry and Analysis Seminar of Imperial College London (UK), 04/2015
- Nowaczyk, Nikolai. Dirac Eigenvalues of higher Multiplicity, Promotionskolloquium (Defense), Fakultät für Mathematik, Universität Regensburg, 12/2014
- Nowaczyk, Nikolai. Dirac Eigenvalues of higher Multiplicity, Analysis, Geometry and Topology of Positive Scalar Curvature Metrics, Mathematisches Forschungszentrum Oberwolfach (Germany), 08/2014.
- Nowaczyk, Nikolai. A Universal Spinor Jet Bundle, Seminar on Recent mathematical progress in general relativity, Universität Regensburg, Fakultät für Mathematik, 07/2014
- Kienitz, Jörg; Nowaczyk, Nikolai. Affine Recursion Problem and a general framework for Adjoint Methods for calculating sensitivities for financial instruments, MathFinance 2012, Frankfurt (Germany), 03/2012
- Nowaczyk, Nikolai. The de Rham isomorphism and the Lp-cohomology of non-compact Riemannian manifolds, DMV Tagung 2011, Studierendenkonferenz, 09/2011
- Nowaczyk, Nikolai. The de Rham isomorphism and the Lp-cohomology of non-compact Riemannian manifolds, Oberseminar Globale Analysis der Universität Regensburg (Germany), 05/2011
- Nowaczyk, Nikolai. The de Rham isomorphism and the Lp-cohomology of non-compact Riemannian manifolds, Oberseminar Differentialgeometrie der Universität Münster (Germany), 04/2011
- Nowaczyk, Nikolai. The de Rham isomorphism and the Lp-cohomology of non-compact Riemannian manifolds. Seminar on Topics in topology, Max-Planck Institut für Mathematik, Bonn (Germany), 03/2011