Research Projects
The research activities at quantLab involve mathematical modeling with data-driven implementation. The projects address current problems in the field, and are often driven by actual questions consulted by our industry partners.
Modern Interest Rate Modelling and Beyond
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After the financial crisis, a paradigm shift has taken place in mathematical interest rate modelling from the single curve to the multiple curve framework. Developing sophisticated, yet tractable models for the term structure of interest rates which are able to accurately simulate real market phenomena continues to be a very active field of research in financial mathematics. In our research projects, a particular focus is on the efficient numerical implementation of advanced and hybrid term-structure models and quantitative simulation studies in the context of model calibration, pricing and hedging of fixed income securities and risk management.
- Hedging Simulation Engine under a Libor Market Model
- Hedge Simulation of Multi-Curve Interest Rate Products under Different Interpolation Methods
- Modelling Inflation Derivatives
- Modelling Multi-Curve Interest Rates
The Interplay Between Insurance and Capital Markets
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One of the most recent developments in the financial services sector is the convergence of (re)insurance and capital markets. More concretely, (re)insurance companies have started to exploit the possibilities of alternative securitization of actuarial risks on the financial market. Simultaneously, new sophisticated products have been invented which intertwine features of traditional insurance and financial investment. The newly developed hybrid market originates a vast new field of research, including topics such as valuation and risk mitigation for hybrid products. Furthermore, new regulatory frameworks for the insurance industry such as Solvency II create the need for enhanced enterprise risk management and reliable quantitative methods for the assessment of solvency capital requirement, especially for the new hybrid products.
- Stochastischer Profit Test von dynamischen 2-Topf-Hybriden mit anschließender Betrachtung unter Solvency II