Publications and Preprints – Nikolai Nowaczyk

Preprints (3)

Nowaczyk, Nikolai; Piterbarg, Vladimir V. Backtesting Correlated Quantities, 09/2023, https://ssrn.com/abstract=4571812
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
Nowaczyk, Nikolai. O’Halloran, Sharyn. Central Clearing and Systemic Risk, 12/2019, https://ssrn.com/abstract=3500442

Peer-Reviewed Articles (13)

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. An Artificial Intelligence Approach to Regulating Systemic Risk, Front. Artif. Intell., 29 May 2019, DOI:10.3389/frai.2019.00007
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)

Nowaczyk, Nikolai. Dirac Eigenvalues of higher Multiplicity, PhD thesis, Regensburg 2014, arXiv:1501.04045 [math.DG]
Nowaczyk, Nikolai. The de Rham isomorphism and the L_p-cohomology of non-compact Riemannian manifolds, Diplomarbeit, Bonn 2011

Other publications (6)

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
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 (26)

Nowaczyk, Nikolai. Backtesting Correlated Quantities, Quant Summit Europe, 12/2023, London
Nowaczyk, Nikolai. Backtesting Correlated Quantities, PRA Research Seminar, 11/2023, Bank of England, London
Nowaczyk, Nikolai. Should we backtest using overlapping samples?, WBS 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
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 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 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 L_p-cohomology of non-compact Riemannian manifolds, DMV Tagung 2011, Studierendenkonferenz, 09/2011
Nowaczyk, Nikolai. The de Rham isomorphism and the L_p-cohomology of non-compact Riemannian manifolds, Oberseminar Globale Analysis der Universität Regensburg (Germany), 05/2011
Nowaczyk, Nikolai. The de Rham isomorphism and the L_p-cohomology of non-compact Riemannian manifolds, Oberseminar Differentialgeometrie der Universität Münster (Germany), 04/2011
Nowaczyk, Nikolai. The de Rham isomorphism and the L_p-cohomology of non-compact Riemannian manifolds . Seminar on Topics in topology, Max-Planck Institut für Mathematik, Bonn (Germany), 03/2011