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

Resultado final

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.

Website

A website for WAKEUPCALL with the relvant public information

MTR

Midterm review meeting

Supervisory board

Supervisory board of the network

Publicaciones

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

Autores: Bruno Bouchard, Ki Wai Chau, Arij Manai, Ahmed Sid-Ali
Publicado en: ESAIM: Proceedings and Surveys, 2019, doi not recognised by system, https://doi.org/10.1051/proc/201965294, 2019
Editor: EDP Sciences

APPLICATIONS OF STOCHASTIC PROCESSES TO FINANCIAL RISK COMPUTATION

Autores: Anastasia Borovykh
Publicado en: 2018
Editor: University of bologna, Alma Mater

New Approaches to Quantification and Management of Model Risk

Autores: Zuzana Krajčovičová
Publicado en: 2018
Editor: University A coruna

Credit Risk Management and Jump Models

Autores: Sidy DIOP
Publicado en: 2018
Editor: University of Bologna, Alma Mater

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

Autores: Enrico Ferri
Publicado en: 2018
Editor: University A Coruna

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

Autores: Ki Wai Chau, Cornelis W Oosterlee
Publicado en: IMA Journal of Numerical Analysis, Edición 38/2, 2017, Página(s) 1051-1083, ISSN 0272-4979
Editor: Oxford University Press
DOI: 10.1093/imanum/drx022

Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model

Autores: Sidy Diop, Andrea Pascucci, Marco Di Francesco, Gian Luca De Marchi
Publicado en: Applied Mathematical Finance, 2018, Página(s) 1-25, ISSN 1350-486X
Editor: Chapman & Hall
DOI: 10.1080/1350486x.2018.1554447

Gini estimation under infinite variance

Autores: Andrea Fontanari, Nassim Nicholas Taleb, Pasquale Cirillo
Publicado en: Physica A: Statistical Mechanics and its Applications, Edición 502, 2018, Página(s) 256-269, ISSN 0378-4371
Editor: Elsevier BV
DOI: 10.1016/j.physa.2018.02.102

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

Autores: Anastasia Borovykh, Andrea Pascucci, Stefano La Rovere
Publicado en: IISE Transactions, Edición 50/9, 2018, Página(s) 806-819, ISSN 2472-5854
Editor: Taylor and Francis
DOI: 10.1080/24725854.2018.1448491

Pricing Bermudan options under local Lévy models with default

Autores: A. Borovykh, A. Pascucci, C.W. Oosterlee
Publicado en: Journal of Mathematical Analysis and Applications, Edición 450/2, 2017, Página(s) 929-953, ISSN 0022-247X
Editor: Academic Press
DOI: 10.1016/j.jmaa.2017.01.071

Asymptotic stability of empirical processes and related functionals

Autores: José L. Fernández, Enrico Ferri, Carlos Vázquez
Publicado en: Journal of Mathematical Analysis and Applications, Edición 475/1, 2019, Página(s) 755-768, ISSN 0022-247X
Editor: Academic Press
DOI: 10.1016/j.jmaa.2019.02.068

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Autores: Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
Publicado en: SIAM Journal on Financial Mathematics, Edición 9/1, 2018, Página(s) 251-273, ISSN 1945-497X
Editor: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/16m1099005

Dilated convolutional neural networks for time series forecasting

Autores: Anastasia Borovykh, Sander Bohte, Cornelis W. Oosterlee
Publicado en: Journal of Computational Finance, 2018, Página(s) ISSN: 1460-1559 (print) 1755-2850 (online), ISSN 1460-1559
Editor: InfoPro Digital
DOI: 10.21314/jcf.2019.358

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

Autores: Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee
Publicado en: Insurance: Mathematics and Economics, Edición 78, 2018, Página(s) 13-29, ISSN 0167-6687
Editor: Elsevier BV
DOI: 10.1016/j.insmatheco.2017.11.003

A novel approach for quantification of model risk by practitioners

Autores: Z. Krajčovičová, P. P. Pérez Velasco, C. Vázquez
Publicado en: Journal of Computational finance, Edición 23, 2019, ISSN 1755-2850
Editor: InfoProDigital
DOI: 10.21314/jcf.2019.371

CDS calibration under an extended JDCEV model

Autores: Marco Di Francesco, Sidy Diop, Andrea Pascucci
Publicado en: International Journal of Computer Mathematics, 2018, Página(s) 1-17, ISSN 0020-7160
Editor: Taylor & Francis
DOI: 10.1080/00207160.2018.1512104

Resultado final

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