Efficient ISDA Initial Margin Calculations Using Least Squares Monte-Carlo

no code implementations • 25 Oct 2021 • Asif Lakhany, Amber Zhang

Non-cleared bilateral OTC derivatives between two financial firms or systemically important non-financial entities are subject to regulations that require the posting of initial and variation margin.

Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithm

no code implementations • 3 Aug 2021 • Asif Lakhany, Andrej Pintar, Amber Zhang

Accurately fitting the term structure of interest rates is critical to central banks and other market participants.

Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations

no code implementations • 14 May 2021 • Yuriy Krepkiy, Asif Lakhany, Amber Zhang

We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio.

regression

VerSe: A Vertebrae Labelling and Segmentation Benchmark for Multi-detector CT Images

2 code implementations • 24 Jan 2020 • Anjany Sekuboyina, Malek E. Husseini, Amirhossein Bayat, Maximilian Löffler, Hans Liebl, Hongwei Li, Giles Tetteh, Jan Kukačka, Christian Payer, Darko Štern, Martin Urschler, Maodong Chen, Dalong Cheng, Nikolas Lessmann, Yujin Hu, Tianfu Wang, Dong Yang, Daguang Xu, Felix Ambellan, Tamaz Amiranashvili, Moritz Ehlke, Hans Lamecker, Sebastian Lehnert, Marilia Lirio, Nicolás Pérez de Olaguer, Heiko Ramm, Manish Sahu, Alexander Tack, Stefan Zachow, Tao Jiang, Xinjun Ma, Christoph Angerman, Xin Wang, Kevin Brown, Alexandre Kirszenberg, Élodie Puybareau, Di Chen, Yiwei Bai, Brandon H. Rapazzo, Timyoas Yeah, Amber Zhang, Shangliang Xu, Feng Hou, Zhiqiang He, Chan Zeng, Zheng Xiangshang, Xu Liming, Tucker J. Netherton, Raymond P. Mumme, Laurence E. Court, Zixun Huang, Chenhang He, Li-Wen Wang, Sai Ho Ling, Lê Duy Huynh, Nicolas Boutry, Roman Jakubicek, Jiri Chmelik, Supriti Mulay, Mohanasankar Sivaprakasam, Johannes C. Paetzold, Suprosanna Shit, Ivan Ezhov, Benedikt Wiestler, Ben Glocker, Alexander Valentinitsch, Markus Rempfler, Björn H. Menze, Jan S. Kirschke

Two datasets containing a total of 374 multi-detector CT scans from 355 patients were prepared and 4505 vertebrae have individually been annotated at voxel-level by a human-machine hybrid algorithm (https://osf. io/nqjyw/, https://osf. io/t98fz/).

Anatomy Segmentation