Research

Research interests

  • Financial Mathematics, Stochastic modelling with applications in finance and insurance, Computational Finance
  • Numerical Functional Analysis: finite element methods, finite volume methods

Publications

Projects

PhD students

Jan Liinev
Topics in Mathematical Finance: from Interest Rate Models to Exotic Options
Defended January 29, 2004

Dries Heyman
Topics on the Portfolio Management of Financial Investments (co-promotor: prof. Jan Annaert)
Defended May 27, 2008

Nele Vandaele
Quadratic Hedging in Finance and Insurance
Defended May 21, 2010

Catherine Daveloose
Essays on Pricing and Hedging in Markets with Imperfections (co-promotors: prof. Tahir Choulli, University of Alberta, Canada and dr. Asma Khedher, Universiteit van Amsterdam, The Netherlands)
Defended January 22, 2016

Xianming Sun
Quantifying Model Uncertainty in Financial Markets (joint PhD with Central South University, China with promotor prof. Siqing Gan)
Defended March 30, 2016

Carel J. van der Merwe
Classifying yield spread movements in sparse data through triplots (as co-promotor, promotor is prof. Koen Inghelbrecht, joint PhD with Stellenbosch University, South Africa with promotor prof. Tertius de Wet and co-promotor prof. Willie Conradie)
Defended January 14, 2020

Mustapha Regragui
Numerical Analysis and Simulation of Exotic Energy Derivatives: case of jump processes with finite activity (joined PhD with University of Antwerp with promotor prof. Karel in 't Hout, co-promotor: prof. Fred Espen Benth, University of Oslo)
Started September 25, 2023

Massimiliano Moda
Numerical Analysis and Simulation of Exotic Energy Derivatives: case of jump processes with infinite activity (joined PhD with University of Antwerp with promotor prof. Karel in 't Hout, co-promotor: prof. Fred Espen Benth, University of Oslo)
Started September 4, 2023

Postdoc student

Griselda Deelstra
Project: Pricing in financial and actuarial models
01/02/2001 - 31/03/2003

Services

Editorship

Associate Editor for scientific journals:

Prizes and Awards

Visitors

  • 05/08/2008 - 16/08/2008: prof. dr. Tahir Choulli, University of Alberta, Canada
  • 01/03/2009 - 15/03/2009: dr. Kathrin Glau, University of Freiburg, Germany
  • 05/12/2009 - 12/12/2009: dr. Kathrin Glau, University of Freiburg, Germany
  • 07/02/2011 - 11/02/2011: dr. Kathrin Glau, University of Vienna, Austria
  • 01/02/2012 - 29/02/2012: dr. Asma Khedher, CAM Oslo, Norway
  • 01/10/2012 - 08/10/2012: dr. Asma Khedher, TU Munich, Germany
  • 03/02/2014 - 07/02/2014: prof. dr. Takuji Arai, Keio University, Japan
  • 03/02/2014 - 07/02/2014: dr. Asma Khedher, TU Munich, Germany
  • 16/03/2014 - 15/04/2014: prof. dr. Tahir Choulli, University of Alberta, Canada
  • 15/03/2015 - 21/03/2015: dr. Asma Khedher, TU Munich, Germany
  • 01/08/2016 - 17/10/2016: prof. dr. Reza Mollapourasl, Shahid Rajaee University, Tehran, Iran and dr. Mahdieh Alizadeh, East Tehran Branch Islamic Azad University, Tehran, Iran
  • 01/02/2019 - 07/02/2019: prof. dr. Tahir Choulli, University of Alberta, Canada
  • 01/11/2019 - 06/12/2019: dr. Xianming Sun, School of Finance, Zhongnan University of Economics and Law, Wuhan, P. R. China
  • 18/12/2019 - 21/12/2019: dr. Kathrin Glau, Queen Mary University of London, UK
  • 09/05/2022 - 12/05/2022: dr. Asma Khedher, University of Amsterdam, The Netherlands
  • 04/01/2024 - 23/03/2024: prof. dr. Tahir Choulli, University of Alberta, Canada