Project-Team:MATHRISK

Project-Team Mathrisk

Members

Overall Objectives

Research Program

Dependence modeling
Liquidity risk
Contagion modeling and systemic risk
Stochastic analysis and numerical probability

Application Domains

Application Domains

Highlights of the Year

New Software and Platforms

PREMIA

New Results

Liquidity risk
Backward stochastic (partial) differential equations with jumps, optimal stopping and stochastic control with nonlinear expectation, risk minimization
Systemic risk
Dependence modeling
Interest rate modeling
Numerical Probability
Optimal transport
Multitype sticky particle systems
Numerical Probability

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

Promoting Scientific Activities
Teaching - Supervision - Juries
Popularization

Bibliography

Major publications
Publications of the year
References in notes

Inria | Raweb 2015 | Presentation of the Project-Team MATHRISK | MATHRISK Web Site


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Section: New Results

Numerical Probability

A. Alfonsi with A. Kohatsu-Higa and M. Hayashi are investigating how to apply the parametric method recently proposed by V. Bally and A. Kohatsu-Higa for reflected SDEs. This method allows them to obtain an unbiased estimator for expectations of general functions of the process.

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