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


Report study week with industry

A short summary of the achievements during a study week with the industry will be published, for example in the ECMI Newsletter or equivalent outlet, plus a more detailed internal report

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All PhD Theses have been finalized, and are published on-line.


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Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

Author(s): Bruno Bouchard, Ki Wai Chau, Arij Manai, Ahmed Sid-Ali
Published in: ESAIM: Proceedings and Surveys, 2019, doi not recognised by system,, 2019
Publisher: EDP Sciences


Author(s): Anastasia Borovykh
Published in: 2018
Publisher: University of bologna, Alma Mater

New Approaches to Quantification and Management of Model Risk

Author(s): Zuzana Krajčovičová
Published in: 2018
Publisher: University A coruna

Credit Risk Management and Jump Models

Author(s): Sidy DIOP
Published in: 2018
Publisher: University of Bologna, Alma Mater

Portfolio Representation as Applied to Model Points Selection for ALM in Life Insurance

Author(s): Enrico Ferri
Published in: 2018
Publisher: University A Coruna

On the wavelet-based SWIFT method for backward stochastic differential equations

Author(s): Ki Wai Chau, Cornelis W Oosterlee
Published in: IMA Journal of Numerical Analysis, 38/2, 2017, Page(s) 1051-1083, ISSN 0272-4979
Publisher: Oxford University Press
DOI: 10.1093/imanum/drx022

Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model

Author(s): Sidy Diop, Andrea Pascucci, Marco Di Francesco, Gian Luca De Marchi
Published in: Applied Mathematical Finance, 2018, Page(s) 1-25, ISSN 1350-486X
Publisher: Chapman & Hall
DOI: 10.1080/1350486x.2018.1554447

Gini estimation under infinite variance

Author(s): Andrea Fontanari, Nassim Nicholas Taleb, Pasquale Cirillo
Published in: Physica A: Statistical Mechanics and its Applications, 502, 2018, Page(s) 256-269, ISSN 0378-4371
Publisher: Elsevier BV
DOI: 10.1016/j.physa.2018.02.102

Systemic risk in a mean-field model of interbank lending with self-exciting shocks

Author(s): Anastasia Borovykh, Andrea Pascucci, Stefano La Rovere
Published in: IISE Transactions, 50/9, 2018, Page(s) 806-819, ISSN 2472-5854
Publisher: Taylor and Francis
DOI: 10.1080/24725854.2018.1448491

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, 450/2, 2017, Page(s) 929-953, ISSN 0022-247X
Publisher: Academic Press
DOI: 10.1016/j.jmaa.2017.01.071

Asymptotic stability of empirical processes and related functionals

Author(s): José L. Fernández, Enrico Ferri, Carlos Vázquez
Published in: Journal of Mathematical Analysis and Applications, 475/1, 2019, Page(s) 755-768, ISSN 0022-247X
Publisher: Academic Press
DOI: 10.1016/j.jmaa.2019.02.068

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Author(s): Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
Published in: SIAM Journal on Financial Mathematics, 9/1, 2018, Page(s) 251-273, ISSN 1945-497X
Publisher: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/16m1099005

Dilated convolutional neural networks for time series forecasting

Author(s): Anastasia Borovykh, Sander Bohte, Cornelis W. Oosterlee
Published in: Journal of Computational Finance, 2018, Page(s) ISSN: 1460-1559 (print) 1755-2850 (online), ISSN 1460-1559
Publisher: InfoPro Digital
DOI: 10.21314/jcf.2019.358

From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions

Author(s): Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee
Published in: Insurance: Mathematics and Economics, 78, 2018, Page(s) 13-29, ISSN 0167-6687
Publisher: Elsevier BV
DOI: 10.1016/j.insmatheco.2017.11.003

A novel approach for quantification of model risk by practitioners

Author(s): Z. Krajčovičová, P. P. Pérez Velasco, C. Vázquez
Published in: Journal of Computational finance, 23, 2019, ISSN 1755-2850
Publisher: InfoProDigital
DOI: 10.21314/jcf.2019.371

CDS calibration under an extended JDCEV model

Author(s): Marco Di Francesco, Sidy Diop, Andrea Pascucci
Published in: International Journal of Computer Mathematics, 2018, Page(s) 1-17, ISSN 0020-7160
Publisher: Taylor & Francis
DOI: 10.1080/00207160.2018.1512104