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

Project Information

WAKEUPCALL

Grant agreement ID: 643045

DOI

10.3030/643045

Project closed

EC signature date 5 December 2014

Start date 1 January 2015

End date 31 December 2018

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 1 522 617,12

EU contribution

€ 1 522 617,12

Coordinated by

STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN
Netherlands

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Deliverables

Documents, reports (2)

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

PhD Theses

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

Websites, patent fillings, videos etc. (1)

Website

A website for WAKEUPCALL with the relvant public information

Other (2)

MTR

Midterm review meeting

Supervisory board

Supervisory board of the network

Publications

Other (1)

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, https://doi.org/10.1051/proc/201965294, 2019
Publisher: EDP Sciences

Thesis and dissertations (4)

APPLICATIONS OF STOCHASTIC PROCESSES TO FINANCIAL RISK COMPUTATION

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

Peer reviewed articles (11)

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, Issue 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, Issue 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, Issue 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, Issue 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, Issue 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, Issue 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, Issue 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, Issue 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