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

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 | Raweb 2016 | Presentation of the Project-Team MATHRISK | MATHRISK Web Site


	PDF	e-Pub

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Section: New Software and Platforms

Diffusion

All releases of the software Premia (18 in 2016) are registered at the French agency APP. The most recent is provided to the Consortium with an appropriate licence. An opensource version is also available for academic purposes. The software is thus used in many universities, with in France and abroad.

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