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WAKEUPCALL SIGNED

Applied mathematics for risk measures in finance and insurance, in the wake of the crisis

Total Cost €

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EC-Contrib. €

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Partnership

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Project "WAKEUPCALL" data sheet

The following table provides information about the project.

Coordinator
STICHTING CENTRUM VOOR WISKUNDE EN INFORMATICA 

There are not information about this coordinator. Please contact Fabio for more information, thanks.

 Coordinator Country Netherlands [NL]
 Project website https://portals.project.cwi.nl/wake-up-call
 Total cost 1˙522˙617 €
 EC max contribution 1˙522˙617 € (100%)
 Programme 1. H2020-EU.1.3.1. (Fostering new skills by means of excellent initial training of researchers)
 Code Call H2020-MSCA-ITN-2014
 Funding Scheme MSCA-ITN-EID
 Starting year 2015
 Duration (year-month-day) from 2015-01-01   to  2018-12-31

 Partnership

Take a look of project's partnership.

# participants  country  role  EC contrib. [€] 
1    STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN NL (UTRECHT) coordinator 510˙748.00
2    STICHTING CENTRUM VOOR WISKUNDE EN INFORMATICA NL (AMSTERDAM) coordinator 0.00
3    ALMA MATER STUDIORUM - UNIVERSITA DI BOLOGNA IT (BOLOGNA) participant 516˙122.00
4    UNIVERSIDADE DA CORUNA ES (LA CORUNA) participant 495˙745.00
5    ANALISTAS FINANCIEROS INTERNACIONALES SA ES (MADRID) participant 0.00
6    BANCO SANTANDER SA ES (CANTABRIA) participant 0.00
7    ERNST & YOUNG ACCOUNTANTS LLP UK (LONDON) participant 0.00
8    NIER INGEGNERIA SPA IT (CASTEL MAGGIORE (BO)) participant 0.00
9    TECHNISCHE UNIVERSITEIT DELFT NL (DELFT) participant 0.00
10    UNIPOL GRUPPO FINANZIARIO SPA IT (Bologna) participant 0.00
11    VORTECH BV NL (DELFT) participant 0.00
12    ACE Venture Lab NL (Amsterdam) partner 0.00

Map

 Project objective

The EID WAKEUPCALL has been set up with the knowledge that, in the WAKE of the financial crisis, a reconsideration of fundamental assumptions that have been standard in the mathematical models for the valuation of financial and insurance products, like CALLs is taking place. The crisis alerted to reiterate models, assumptions and computations. It is now better understood that the usual paradigm, in which financial risks can be mitigated, spread, or even hedged away perfectly, is too simplistic for markets under stressed conditions. Lead by the Basel Committee on Banking Supervision, financial and insurance institutions are currently implementing new paradigms regarding risk management. Many of the updates in the risk measures involve sophisticated mathematics. In this sense, the crisis has provided important feedback on appropriate directions for the required mathematical improvements. As regards to hedging and risk mitigation, which are important steps in the risk management chain, nowadays even the hedging of basic financial instruments has become a complicated task. More sophisticated models are needed if hedging programs are to remain effective under financial stress. We wish to bring together academic researchers in financial mathematics and high level professionals in financial and insurance industries, discuss and interact by means of early-stage researchers (ESRs). We are interested in the mathematical models, as well as in advanced solution techniques used for pricing and risk measurement. We wish to educate young experts in modern risk measures and management. Advanced courses by academic and professional lecturers will be selected for the education of the ESRs. We will additionally work on providing entrepeneurial skills to ESRs as they will have a unique knowledge of applied mathematics on practically relevant research questions in computational finance. All ESRs will produce software, according to latest standards in high performance computing.

 Deliverables

List of deliverables.
Report study week with industry Documents, reports 2019-06-19 12:59:50
PhD Theses Documents, reports 2019-06-19 12:59:50
MTR Other 2019-06-19 12:59:47
Supervisory board Other 2019-06-19 12:59:47
Website Websites, patent fillings, videos etc. 2019-06-19 12:59:47

Take a look to the deliverables list in detail:  detailed list of WAKEUPCALL deliverables.

 Publications

year authors and title journal last update
List of publications.
2019 Andrea Fontanari, Iddo Eliazar, Pasquale Cirillo, Cornelis W. Oosterlee
Portfolio risk and the quantum majorization of correlation matrices
published pages: , ISSN: , DOI:
Submitted for publication in IMA journal 2019-06-19
2018 Andrea Fontanari, Nassim Nicholas Taleb, Pasquale Cirillo
Gini estimation under infinite variance
published pages: 256-269, ISSN: 0378-4371, DOI: 10.1016/j.physa.2018.02.102
Physica A: Statistical Mechanics and its Applications 502 2019-06-19
2018 Enrico Ferri
Portfolio Representation as Applied toModel Points Selection for ALM in LifeInsurance
published pages: , ISSN: , DOI:
2019-06-19
2018 Sidy Diop, Andrea Pascucci, Marco Di Francesco, Gian Luca De Marchi
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model
published pages: 1-25, ISSN: 1350-486X, DOI: 10.1080/1350486x.2018.1554447
Applied Mathematical Finance 2019-06-19
2019 Maria del Carmen Calvo-Garrido, Sidy Diop, Andrea Pascucci, Carlos Vázquez.
DE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model,
published pages: , ISSN: , DOI:
Preprint submitted for publication 2019-06-19
2018 Z. Krajčovičová, P. P. Pérez Velasco
Model Risk and Differential Geometry Applied to Sensitivity Analysis
published pages: , ISSN: , DOI:
2019-06-19
2018 Sidy DIOP
Credit Risk Management and JumpModels
published pages: , ISSN: , DOI:
2019-06-19
2019 Ki Wai Chau and Cornelis W. Oosterlee
Stochastic grid bundling method for backward stochastic differential equations
published pages: , ISSN: , DOI:
Submitted to Int. J. Computer Mathematics 2019-06-19
2018 Anastasia Borovykh
APPLICATIONS OF STOCHASTIC PROCESSESTO FINANCIAL RISK COMPUTATION
published pages: , ISSN: , DOI:
2019-06-19
2018 Zuzana Krajčovičová
New Approaches to Quantification and Management of Model Risk
published pages: , ISSN: , DOI:
2019-06-19
2019 Ki Wai Chau, Jok Tang and Cornelis W. Oosterlee
An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
published pages: , ISSN: , DOI:
Springer book with special WAKEUPCALL contributions 2019-06-19
2018 A. Borovykh
A Gaussian Process perspective on Convolutional Neural Networks
published pages: , ISSN: , DOI:
2019-06-19
2018 Anastasia Borovykh, Andrea Pascucci, Stefano La Rovere
Systemic risk in a mean-field model of interbank lending with self-exciting shocks
published pages: 806-819, ISSN: 2472-5854, DOI: 10.1080/24725854.2018.1448491
IISE Transactions 50/9 2019-06-19
2017 A. Borovykh, A. Pascucci, C.W. Oosterlee
Efficient XVA computation under local L\'evy models
published pages: , ISSN: , DOI:
report submitted for publication 2019-06-19
2017 Ki Wai Chau, Cornelis W. Oosterlee
On the wavelets-based SWIFT method for backward stochastic differential equations
published pages: , ISSN: , DOI:
accepted for publication in IMA J. Numerical Analysis 2019-06-19
2018 Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions
published pages: 13-29, ISSN: 0167-6687, DOI: 10.1016/j.insmatheco.2017.11.003
Insurance: Mathematics and Economics 78 2019-06-19
2017 A. Borovykh, A. Pascucci, C.W. Oosterlee
Pricing Bermudan options under local Lévy models with default
published pages: 929-953, ISSN: 0022-247X, DOI: 10.1016/j.jmaa.2017.01.071
Journal of Mathematical Analysis and Applications 450/2 2019-06-19
2019 José L. Fernández, Enrico Ferri, Carlos Vázquez
Asymptotic stability of empirical processes and related functionals
published pages: 755-768, ISSN: 0022-247X, DOI: 10.1016/j.jmaa.2019.02.068
Journal of Mathematical Analysis and Applications 475/1 2019-06-19
2019 Z. Krajčovičová, P. P. Pérez Velasco, C. Vázquez
A novel approach for quantification of model risk by practitioners
published pages: , ISSN: 1755-2850, DOI: 10.21314/jcf.2019.371
Journal of Computational finance 23 2019-06-19
2019 Bruno Bouchard, Ki Wai Chau, Arij Manai, Ahmed Sid-Ali
Monte-Carlo methods for the pricing ofAmerican options: a semilinear BSDE point ofview
published pages: , ISSN: , DOI:
ESAIM: Proceedings and Surveys, 2019, doi not recognised by system, https://doi.org/10.1051/proc/201965294 2019-06-19
2018 Marco Di Francesco, Sidy Diop, Andrea Pascucci
CDS calibration under an extended JDCEV model
published pages: 1-17, ISSN: 0020-7160, DOI: 10.1080/00207160.2018.1512104
International Journal of Computer Mathematics 2019-06-19
2017 Ki Wai Chau, Cornelis W Oosterlee
On the wavelet-based SWIFT method for backward stochastic differential equations
published pages: 1051-1083, ISSN: 0272-4979, DOI: 10.1093/imanum/drx022
IMA Journal of Numerical Analysis 38/2 2019-06-19

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The information about "WAKEUPCALL" are provided by the European Opendata Portal: CORDIS opendata.

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