Fraunhofer Institute for Industrial Mathematics ITWMFields of Activity/Competences
- Time series analysis and forecasting
- Validation models and algorithms for structured products and derivatives
- Machine Learning Methods
- Monte-Carlo methods, especially Multilevel and Markov chain
- Neural Networks/Deep Learning
Publications
Major Publications
- Buch, R.; Richert, I.:
Interpolation of Missing Swaption Volatility Data using Gibbs Sampling on Variational Autoencoders.
arXiv:2204.10400, (2022). - Sicks, R.; Grimm, S.; Korn, R.; Richert, I.:
Estimating the Value-at-Risk by Temporal VAE.
arXiv:2112.0189, (2021). - Sicks, R.; Korn, R.; Schwaar, S.:
A Generalised Linear Model Framework for β-Variational Autoencoders based on Exponential Dispersion Families.
Journal of Machine Learning Research, Volume 22, Pages 1-41, (2021). - Sicks, R.; Korn, R.; Schwaar, S.:
A lower bound for the ELBO of the Bernoulli Variational Autoencoder.
arXiv:2003.11830, (2020). - Sicks, R.: Gauß-Newton and M-Estimators for ARMA-Processes with regularly varying tails.
Masterthesis, KIT Karlsruhe, (2016).