Climate risk modelling, using a new parametrisation of multivariate generalised Pareto distribution

The Department of Probability and Statistics organised a workshop about the hot topic of Climate Risk in November, 2022. There were quite a few interesting talks held by experts from financial institutions, like Morgan Stanley or MSCI. The academic side was represented by Johannes Stroebel (NYU) and András Zempléni of […]

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Lightweight diacritic restoration for V4 languages

Diacritics restoration became a ubiquitous task in the Latin-alphabet-based English-dominated Internet language environment. We showcase a small footprint 1D convolution-based solution, running in a web browser, which surpassed the performance of similarly sized models. Many languages have alphabets where some characters are derived from other characters using diacritical marks. The […]

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Estimation and simulation of fractional Ornstein-Uhlenbeck processes, using deep neural networks

There is now a great deal of interest in parameter estimation of Ornstein-Uhlenbeck processes in finance because of its modelling capability (see e.g. [1]). That is why we investigated prediction of the unknown parameters with neural networks in the hope that we will obtain more accurate estimators than the ones […]

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Mathematics Expert in Data Analytics and Machine Learning

A new program has started for graduates at Eötvös Loránd University: This program is for those, who want to be among the winners of the socio-economic transformations generated by artificial intelligence. It is well-known than those can make the most of the possibilities offered by artificial intelligence who well understand […]

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