Things I'm reading (more on github).
I'll start using this page as a memo for me of interesting research papers and books that I'm currently reading or that I need to read. I'll also add some of the books that I've read in the past and that I recommend.
Research papers - ML
Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting
When studying Transformers, LSTMs, LLMs:
Variational Autoencoders: A Hands-Off Approach to Volatility
When modeling volatility
Understanding the difficulty of training deep feedforward neural networks
When covering Deep Neural Networks gradient instability (notably with the study of Vanishing/Exploding Gradients Problem):
Empirical Evaluation of Rectified Activations in Convolution Network
When covering Nonsaturating Activation Functions (notably with leaky ReLu)
Delving Deep into Rectifiers: Surpassing Human-Level Performance on ImageNet Classification
When covering activation functions (notably The exponential linear unit(ELU)) and their challenges
Self-Normalizing Neural Networks
When covering activation functions (notably the Scaled exponential linear unit (SELU) activation function)
Batch Normalization: Accelerating Deep Network Training by Reducing Internal Covariate Shift
When covering batch normalization
Fixup Initialization: Residual Learning Without Normalization
When covering batch normalization and its substitutes such as the fixed_update weights presented in the paper
Efficient Estimation of Word Representations in Vector Space
When covering Word2Vec
All-but-the-top: Simple And Effective Processing For Word Representations
When covering GloVe
Language Modeling with Gated Convolutional Networks
When creating the NN architecture of credit scoring, controlling the flow of info between categorical and non-categorical label-encoded data using GRNs
Attention Is All You Need
THE CLASSIC ! When working on attention mechanisms
Sequence to Sequence Learning with Neural Networks
Skimmed through only. Maybe I'll get back to it later.
Show, Attend and Tell: Neural Image Caption Generation with Visual Attention
Skimmed through only. Maybe I'll get back to it later.
An Image is Worth 16x16 Words: Transformers for Image Recognition at Scale
Skimmed through only. Maybe I'll get back to it later.
Books - Finance
Options, Futures and Other Derivatives
The "bible" in finance: Options, Futures and Other Derivatives, by John C. Hull
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading, by Mohamed Bouzoubaa (Moroccan Author !) and Adel Osseiran
Books I need to read
Prof. Enrico Biffis recommendation - The Volatility Surface: A Practitioner`'`s Guide
The Volatility Surface: A PractitionerReadings Guide, by Jim Gatheral
Advanced equity derivatives volatility and correlation
Advanced equity derivatives volatility and correlation / 1st edition, Bossu, Sébastien, author. Hoboken, New Jersey : John Wiley & Sons; 2014; Wiley Finance Series; Wiley finance series.