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Section: Application Domains
Application Domains
Risk management, Quantitative Finance, Computational Finance, Market Microstructure, Systemic Risk, Portfolio optimization, Risk modeling.
Overall Objectives
Research Program
Application Domains
Software and Platforms
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
Partnerships and Cooperations
Dissemination
Bibliography
Overall Objectives
Research Program
Application Domains
Software and Platforms
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
Partnerships and Cooperations
Dissemination
Bibliography