Servicio de Información Comunitario sobre Investigación y Desarrollo - CORDIS

Applied mathematics for risk measures in finance and insurance, in the wake of the crisis

Desde 2015-01-01 hasta 2018-12-31, proyecto en curso

Detalles del proyecto

Coste total:

EUR 1 522 617,12

Aportación de la UE:

EUR 1 522 617,12

Coordinado en:

Netherlands

Convocatoria de propuestas:

H2020-MSCA-ITN-2014See other projects for this call

Régimen de financiación:

MSCA-ITN-EID - European Industrial Doctorates

Objetivo

Deliverables

  • Website

    A website for WAKEUPCALL with the relvant public information

Publications

  • Conditional time series forecasting with convolutional neural networks
    Author(s): A. Borovykh, S. Bohte, C.W. Oosterlee
  • From Concentration Profiles to Concentration Maps. New Tools for the Study of Loss Distributions.
    Author(s): Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee
  • Short-term CDS calibration under the extended JDCEV model
    Author(s): Marco Di Francesco, Sidy Diop, Andrea Pascucci
  • Efficient XVA computation under local L'evy models
    Author(s): A. Borovykh, A. Pascucci, C.W. Oosterlee
    Published in: report submitted for publication, 2017. 
  • Risk Estimation under probabilistic symmetries
    Author(s): Enrico Ferri, Carlos Vázquez, José Luis Fernández
    Published in: submitted for publication, 2017. 
  • On the wavelets-based SWIFT method for backward stochastic differential equations
    Author(s): Ki Wai Chau, Cornelis W. Oosterlee
    Published in: accepted for publication in IMA J. Numerical Analysis, 2017. 
  • From concentration profiles to concentration maps:New tools for the study of loss distributions
    Author(s): Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee
  • A novel approach for quantification of model risk by practitioners
    Author(s): Z. Krajčovičová, P. P. Pérez Velasco, C. Vázquez
  • Pricing Bermudan options under local Lévy models with default
    Author(s): A. Borovykh, A. Pascucci, C.W. Oosterlee
    Published in: Journal of Mathematical Analysis and Applications, issue volume 450, 2017. Page(s) 929–953.  ISSN: 0022-247X

Coordinador

STICHTING CENTRUM VOOR WISKUNDE EN INFORMATICA
Netherlands

Aportación de la UE: EUR 510 748,56


Science Park 123
1098XG AMSTERDAM
Netherlands
Activity type: Research Organisations

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Participantes

BANCO SANTANDER SA
Spain

Aportación de la UE: EUR 0


PASEO DE PEREDA 9 AL 12
39004 CANTABRIA
Spain
Activity type: Private for-profit entities (excluding Higher or Secondary Education Establishments)

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VORTECH BV
Netherlands

Aportación de la UE: EUR 0


MARTINUS NIJHOFFLAAN 2
2624 DELFT
Netherlands
Activity type: Private for-profit entities (excluding Higher or Secondary Education Establishments)

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ALMA MATER STUDIORUM-UNIVERSITA DI BOLOGNA
Italy

Aportación de la UE: EUR 516 122,64


Via Zamboni 33
40126 BOLOGNA
Italy
Activity type: Higher or Secondary Education Establishments

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UNIVERSIDADE DA CORUNA
Spain

Aportación de la UE: EUR 495 745,92


CALLE DE LA MAESTRANZA 9
15001 LA CORUNA
Spain
Activity type: Higher or Secondary Education Establishments

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ANALISTAS FINANCIEROS INTERNACIONALES SA
Spain

Aportación de la UE: EUR 0


ESPANOLETO 19
28010 MADRID
Spain
Activity type: Private for-profit entities (excluding Higher or Secondary Education Establishments)

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ERNST & YOUNG ACCOUNTANTS LLP
United Kingdom

Aportación de la UE: EUR 0


BECKET HOUSE 1 LAMBETH PALACE ROAD
SE1 7EU LONDON
United Kingdom
Activity type: Private for-profit entities (excluding Higher or Secondary Education Establishments)

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TECHNISCHE UNIVERSITEIT DELFT
Netherlands

Aportación de la UE: EUR 0


STEVINWEG 1
2628 CN DELFT
Netherlands
Activity type: Higher or Secondary Education Establishments

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NIER INGEGNERIA SPA
Italy

Aportación de la UE: EUR 0


VIA CLODOVEO BONAZZI 2
40013 CASTEL MAGGIORE (BO)
Italy
Activity type: Private for-profit entities (excluding Higher or Secondary Education Establishments)

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UNIPOL GRUPPO FINANZIARIO SPA
Italy

Aportación de la UE: EUR 0


VIA STALINGRADO 45
40128 Bologna
Italy
Activity type: Private for-profit entities (excluding Higher or Secondary Education Establishments)

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