Project-Team:MATHRISK

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 | Raweb 2013 | Presentation of the Project-Team MATHRISK | MATHRISK Web Site


	PDF	e-Pub

Previous |

Home | Next next

Section: New Results

Credit risk

Participants : Aurélien Alfonsi, Céline Labart, Jérôme Lelong.

We have ended our study on stochastic local intensity model. We have shown by the mean of a particles system that this model is well defined and have obtained an efficient way to perform Monte-Carlo algorithms for this model.

Previous |

Home | Next next