MATHRISK - 2014 - Annual activity report

MATHRISK

MATHRISK - 2014

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

New Software and Platforms

PREMIA

New Results

Highlights of the Year
Liquidity risk
Dependence modeling
Systemic risk
Backward stochastic (partial) differential equations with jumps and stochastic control with nonlinear expectation
Option Pricing
Discretization of stochastic differential equations
Advanced Monte Carlo methods.
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

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2014 Project-Team Activity Report

MATHRISK

Mathematical Risk handling

Research centre: Paris - Rocquencourt

In partnership with: CNRS, Ecole des Ponts ParisTech, Université Paris-Est Marne-la-Vallée

In collaboration with: Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS)

Field: Applied Mathematics, Computation and Simulation

Theme: Stochastic approaches

Keywords: Financial Mathematics, Numerical Probability, Stochastic Analysis, Systemic Risk, Risk Control, Risk Measures