Project-Team Mathrisk
Members
Overall Objectives
Introduction
Highlights of the Year
Research Program
Dependence modeling
Liquidity risk
Contagion modeling and systemic risk
Stochastic analysis and numerical probability
Application Domains
Application Domains
Software and Platforms
PREMIA
New Results
Credit risk
Liquidity risk
Systemic Risk
Estimation of the parameters of a Wishart process
An Affine term structure model for interest rates that involve Wishart diffusions
Applications of optimal transport
Capital distribution and portfolio performance in the mean-field Atlas model
Public Private Partnerships
Backward Stochastic (Partial) Differential equations with jumps and stochastic control
Utility maximization and Arbitrage Theory
Regularity of probability laws using an interpolation method
A stochastic parametric representation for the density of a Markov process
Regularity of probability laws using an interpolation method
Bilateral Contracts and Grants with Industry
Bilateral Contracts with Industry
Bilateral Grants with Industry
Partnerships and Cooperations
National Initiatives
International Initiatives
International Research Visitors
Dissemination
Scientific Animation
Teaching - Supervision - Juries
Bibliography
Major publications
Publications of the year
References in notes
Inria
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Raweb 2013
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Presentation of the Project-Team MATHRISK
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MATHRISK Web Site
PDF
e-Pub
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Section: Bilateral Contracts and Grants with Industry
Bilateral Contracts with Industry
PREMIA consortium
: presently composed of Crédit Agricole CIB, and Natixis.
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