Credit for the Libraries in Social and Human Sciences (Antwerp School of Education). 01/01/2018 - 31/12/2019

Abstract

This project represents a research contract awarded by the University of Antwerp. The supervisor provides the Antwerp University research mentioned in the title of the project under the conditions stipulated by the university.

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    • Research Project

    Stochastic modeling with applications in financial markets. 01/01/2011 - 31/12/2020

    Abstract

    This is a fundamental research project financed by the Research Foundation - Flanders (FWO). The project was subsidized after selection by the FWO-expert panel. The aim of this scientific research network is the promotion of interdisciplinary research (mathematics – physics – economics) in the domain of stochastic modelling, relying on the correlation between theory, numerical calculations and applications. The combination of ideas and results from financial mathematics with the classical valuation and pricing methods from actuarial sciences is a continuing trend in this research. The scientific research network facilitates research merging both methodologies into a combined financial-actuarial approach. In addition techniques from statistical physics and network theory are incorporated to develop models intended to explain the underlying market dynamics and to estimate systemic risk. As such we want to anticipate and respond to the evolutions of research problems related to financial markets. The knowledge and expertise at hand in the various subdomains by the participating Flemish, Walloon and international research groups is united to create new synergies, to stimulate the interaction and to look for optimization. The objective is to make the most of the available complementarity. The scientific research network wants to encourage and support young researchers by offering training through seminars, schools and work visits, and by giving them the opportunity to participate in conferences and to present their research results. The possibility of personal contacts is an important extra advantage, and facilitates future cooperation. The researchers of the participating teams will meet on a regularly basis in order to enable the organization of common workshops and symposia, to exchange expertise, to develop new research lines and to draw up joint research projects.

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    Project website

    Project type(s)

    • Research Project

    Design of new models and techniques for high performance financial applications. 01/01/2008 - 31/12/2011

    Abstract

    In the past decennia the international financial markets are witnessing a huge increase in the trading of more and more complex products, such as exotic options and interest products, and this growth is only amplifying. For the exchanges and banks it is of crucial importance to be able to price these products accurately, and as fast as possible. The simulation of the current, sophisticated pricing models is, however, very time consuming with classical techniques such as Monte Carlo methods or binomial trees, and practical pricing formulas are often not at hand. This project is concerned with new models and techniques for robustly and efficiently pricing modern financial products. We investigate two complementary approaches: the first is based on partial differential equations and the second on quantum mechanical path integrals. In the first approach, we will consider operator splitting methods and meshfree methods for the effective numerical solution of these, often multi-dimensional, equations. In the second approach, path integral formulas for financial products will be studied by using the present theory concerning physical multi-particle systems and the comonotonicity coefficient. The obtained models and computational techniques will continually be mutually validated.

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    • Research Project

    A practical decision methodology for choosing a non linear dependence structure: an application to dependencies in asset portfolios. 01/10/2007 - 30/09/2008

    Abstract

    In recent years copulas have been hailed in the literature as promising tools for dependence modeling. A confronting problem in this matter, however, is how to choose among a wide diversity of copulas. Which copulas should be used in a particular situation to obtain the best result, being an optimal estimate of the true dependence structure? To answer this question a new methodology needs to be developed which allows comparing different copulas and their families. Furthermore, this comparison will be the starting point to study the potential statistical affinities that could exist between different copulas. The comparison results can also be used to combine the most useful properties of different copulas into one model.

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      • Research Project

      Long-term return predictability: robustness tests and impact of institutional developments. 01/01/2007 - 31/12/2010

      Abstract

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      • Research Project

      Risk management and pricing with incomplete information about the underlying distributions. 01/07/2006 - 31/12/2010

      Abstract

      A key problem in the financial and actuarial research is the choice of models, so as to avoid syste¬matic biases in prices et al. An alternative consists of fixing only a number of parameters instead of a complete distribution, resulting in bounds instead of unique results. The aim of this project is to develop this research theme into three directions: a direct application to new research questions, extensions to more complex situations, and testing in combination with sensitivity analysis by means of simulations.

      Researcher(s)

      Research team(s)

      Project type(s)

      • Research Project