MATHRISK - 2013 - Annual activity report

MATHRISK

MATHRISK - 2013

Project-Team Mathrisk

Members

Overall Objectives

Introduction
Highlights of the Year

Research Program

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

Application Domains

Application Domains

Software and Platforms

PREMIA

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

Bilateral Contracts with Industry
Bilateral Grants with Industry

Partnerships and Cooperations

National Initiatives
International Initiatives
International Research Visitors

Dissemination

Scientific Animation
Teaching - Supervision - Juries

Bibliography

Major publications
Publications of the year
References in notes

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2013 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