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

Rezultaty

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

Publikacje

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

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

APPLICATIONS OF STOCHASTIC PROCESSES TO FINANCIAL RISK COMPUTATION

Autorzy: Anastasia Borovykh
Opublikowane w: 2018
Wydawca: University of bologna, Alma Mater

New Approaches to Quantification and Management of Model Risk

Autorzy: Zuzana Krajčovičová
Opublikowane w: 2018
Wydawca: University A coruna

Credit Risk Management and Jump Models

Autorzy: Sidy DIOP
Opublikowane w: 2018
Wydawca: University of Bologna, Alma Mater

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

Autorzy: Enrico Ferri
Opublikowane w: 2018
Wydawca: University A Coruna

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

Autorzy: Ki Wai Chau, Cornelis W Oosterlee
Opublikowane w: IMA Journal of Numerical Analysis, Numer 38/2, 2017, Strona(/y) 1051-1083, ISSN 0272-4979
Wydawca: Oxford University Press
DOI: 10.1093/imanum/drx022

Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model

Autorzy: Sidy Diop, Andrea Pascucci, Marco Di Francesco, Gian Luca De Marchi
Opublikowane w: Applied Mathematical Finance, 2018, Strona(/y) 1-25, ISSN 1350-486X
Wydawca: Chapman & Hall
DOI: 10.1080/1350486x.2018.1554447

Gini estimation under infinite variance

Autorzy: Andrea Fontanari, Nassim Nicholas Taleb, Pasquale Cirillo
Opublikowane w: Physica A: Statistical Mechanics and its Applications, Numer 502, 2018, Strona(/y) 256-269, ISSN 0378-4371
Wydawca: Elsevier BV
DOI: 10.1016/j.physa.2018.02.102

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

Autorzy: Anastasia Borovykh, Andrea Pascucci, Stefano La Rovere
Opublikowane w: IISE Transactions, Numer 50/9, 2018, Strona(/y) 806-819, ISSN 2472-5854
Wydawca: Taylor and Francis
DOI: 10.1080/24725854.2018.1448491

Pricing Bermudan options under local Lévy models with default

Autorzy: A. Borovykh, A. Pascucci, C.W. Oosterlee
Opublikowane w: Journal of Mathematical Analysis and Applications, Numer 450/2, 2017, Strona(/y) 929-953, ISSN 0022-247X
Wydawca: Academic Press
DOI: 10.1016/j.jmaa.2017.01.071

Asymptotic stability of empirical processes and related functionals

Autorzy: José L. Fernández, Enrico Ferri, Carlos Vázquez
Opublikowane w: Journal of Mathematical Analysis and Applications, Numer 475/1, 2019, Strona(/y) 755-768, ISSN 0022-247X
Wydawca: Academic Press
DOI: 10.1016/j.jmaa.2019.02.068

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Autorzy: Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
Opublikowane w: SIAM Journal on Financial Mathematics, Numer 9/1, 2018, Strona(/y) 251-273, ISSN 1945-497X
Wydawca: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/16m1099005

Dilated convolutional neural networks for time series forecasting

Autorzy: Anastasia Borovykh, Sander Bohte, Cornelis W. Oosterlee
Opublikowane w: Journal of Computational Finance, 2018, Strona(/y) ISSN: 1460-1559 (print) 1755-2850 (online), ISSN 1460-1559
Wydawca: InfoPro Digital
DOI: 10.21314/jcf.2019.358

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

Autorzy: Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee
Opublikowane w: Insurance: Mathematics and Economics, Numer 78, 2018, Strona(/y) 13-29, ISSN 0167-6687
Wydawca: Elsevier BV
DOI: 10.1016/j.insmatheco.2017.11.003

A novel approach for quantification of model risk by practitioners

Autorzy: Z. Krajčovičová, P. P. Pérez Velasco, C. Vázquez
Opublikowane w: Journal of Computational finance, Numer 23, 2019, ISSN 1755-2850
Wydawca: InfoProDigital
DOI: 10.21314/jcf.2019.371

CDS calibration under an extended JDCEV model

Autorzy: Marco Di Francesco, Sidy Diop, Andrea Pascucci
Opublikowane w: International Journal of Computer Mathematics, 2018, Strona(/y) 1-17, ISSN 0020-7160
Wydawca: Taylor & Francis
DOI: 10.1080/00207160.2018.1512104

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