Recent & Upcoming Talks

2019

Understanding Economic Policy Uncertainty index using semi-automatic news classification

Understanding Economic Policy Uncertainty index using semi-automatic news classification

Understanding Economic Policy Uncertainty index using semi-automatic news classification

Understanding Economic Policy Uncertainty index using semi-automatic news classification

Understanding Economic Policy Uncertainty index using semi-automatic news classification

The Impact of the Freedom of the Press on Risk

The Impact of the Freedom of the Press on Risk

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

2018

The Impact of the Freedom of the Press on Risk

The Impact of the Freedom of the Press on Risk

Prediction of the Volatility Surface with Generalized Autoregressive Score (GAS) models

Efficient Monte Carlo algorithms for risk allocation

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

2017

Realistic Risk Parity Portfolios

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

2016

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

2015

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

2014

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

2013

Optimal exercise strategies for operational risk insurance via multiple optimal stopping times

2009

Hedging in incomplete markets using Fourier series method

Estimation of the parameters of the Heston model by Fourier series method

Calibration of the Heston model by Fourier series method

Applications of the fractional Brownian motion in finance

2008

Bayesian selection for Heston models with volatilities determined by Fourier series method