List of publications

• NOMU: Neural Opimization-based Model Uncertainty[code] In Proceedings of the 39th International Conference on Machine Learning ICML '22, Baltimore, USA, July 2022.
• A Deep Learning Model for Gas Storage Optimization Decisions in Economics and Finance, 44, 1021-1037, 2021

Working Papers

• Machine Learning-powered Pricing of the Multidimensional Passport Option[code]
• How (Implicit) Regularization of ReLU Neural Networks Characterizes the Learned Function - Part II: the Multi-D Case of Two Layers with Random First Layer
• How Infinitely Wide Neural Networks Benefit from Multi-task Learning - an Exact Macroscopic Characterization
• How Implicit Regularization of ReLU Neural Networks Characterizes the Learned Function – Part I

Theses

• Master Thesis: On variable selection of the Elastic Net in presence of multicollinearity
• Master Thesis: Energy Futures
• PhD Thesis: A Take on Deep Learning in Finance: Uncertainty Quantification and Dynamic Decision Making