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

Risultati finali

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

Pubblicazioni

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

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

APPLICATIONS OF STOCHASTIC PROCESSES TO FINANCIAL RISK COMPUTATION

Autori: Anastasia Borovykh
Pubblicato in: 2018
Editore: University of bologna, Alma Mater

New Approaches to Quantification and Management of Model Risk

Autori: Zuzana Krajčovičová
Pubblicato in: 2018
Editore: University A coruna

Credit Risk Management and Jump Models

Autori: Sidy DIOP
Pubblicato in: 2018
Editore: University of Bologna, Alma Mater

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

Autori: Enrico Ferri
Pubblicato in: 2018
Editore: University A Coruna

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

Autori: Ki Wai Chau, Cornelis W Oosterlee
Pubblicato in: IMA Journal of Numerical Analysis, Numero 38/2, 2017, Pagina/e 1051-1083, ISSN 0272-4979
Editore: Oxford University Press
DOI: 10.1093/imanum/drx022

Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model

Autori: Sidy Diop, Andrea Pascucci, Marco Di Francesco, Gian Luca De Marchi
Pubblicato in: Applied Mathematical Finance, 2018, Pagina/e 1-25, ISSN 1350-486X
Editore: Chapman & Hall
DOI: 10.1080/1350486x.2018.1554447

Gini estimation under infinite variance

Autori: Andrea Fontanari, Nassim Nicholas Taleb, Pasquale Cirillo
Pubblicato in: Physica A: Statistical Mechanics and its Applications, Numero 502, 2018, Pagina/e 256-269, ISSN 0378-4371
Editore: Elsevier BV
DOI: 10.1016/j.physa.2018.02.102

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

Autori: Anastasia Borovykh, Andrea Pascucci, Stefano La Rovere
Pubblicato in: IISE Transactions, Numero 50/9, 2018, Pagina/e 806-819, ISSN 2472-5854
Editore: Taylor and Francis
DOI: 10.1080/24725854.2018.1448491

Pricing Bermudan options under local Lévy models with default

Autori: A. Borovykh, A. Pascucci, C.W. Oosterlee
Pubblicato in: Journal of Mathematical Analysis and Applications, Numero 450/2, 2017, Pagina/e 929-953, ISSN 0022-247X
Editore: Academic Press
DOI: 10.1016/j.jmaa.2017.01.071

Asymptotic stability of empirical processes and related functionals

Autori: José L. Fernández, Enrico Ferri, Carlos Vázquez
Pubblicato in: Journal of Mathematical Analysis and Applications, Numero 475/1, 2019, Pagina/e 755-768, ISSN 0022-247X
Editore: Academic Press
DOI: 10.1016/j.jmaa.2019.02.068

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Autori: Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
Pubblicato in: SIAM Journal on Financial Mathematics, Numero 9/1, 2018, Pagina/e 251-273, ISSN 1945-497X
Editore: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/16m1099005

Dilated convolutional neural networks for time series forecasting

Autori: Anastasia Borovykh, Sander Bohte, Cornelis W. Oosterlee
Pubblicato in: Journal of Computational Finance, 2018, Pagina/e ISSN: 1460-1559 (print) 1755-2850 (online), ISSN 1460-1559
Editore: InfoPro Digital
DOI: 10.21314/jcf.2019.358

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

Autori: Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee
Pubblicato in: Insurance: Mathematics and Economics, Numero 78, 2018, Pagina/e 13-29, ISSN 0167-6687
Editore: Elsevier BV
DOI: 10.1016/j.insmatheco.2017.11.003

A novel approach for quantification of model risk by practitioners

Autori: Z. Krajčovičová, P. P. Pérez Velasco, C. Vázquez
Pubblicato in: Journal of Computational finance, Numero 23, 2019, ISSN 1755-2850
Editore: InfoProDigital
DOI: 10.21314/jcf.2019.371

CDS calibration under an extended JDCEV model

Autori: Marco Di Francesco, Sidy Diop, Andrea Pascucci
Pubblicato in: International Journal of Computer Mathematics, 2018, Pagina/e 1-17, ISSN 0020-7160
Editore: Taylor & Francis
DOI: 10.1080/00207160.2018.1512104

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