Project-Team Mathrisk
Members
Overall Objectives
Research Program
Dependence modeling
Liquidity risk
Contagion modeling and systemic risk
Stochastic analysis and numerical probability
Application Domains
Financial Mathematics, Insurance
Highlights of the Year
New Software and Platforms
PREMIA
Scientific Description
Functional Description
Content
PNL numerical library
Consortium Premia
Diffusion
Algorithms implemented in Premia in 2016
New Results
Systemic risk
Backward stochastic (partial) differential equations with jumps, optimal stopping and stochastic control with nonlinear expectation
Optimal transport
Option Pricing and Calibration
Dependence modeling
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
Bibliography
Major publications
Publications of the year
References in notes
Inria
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Raweb 2016
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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: New Software and Platforms
PREMIA
Keywords:
Financial products - Computational finance - Option pricing
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