On the application of mathematics, most often of stochastic calculus, in finance, insurance, risk management, and economics.
Professors Le Courtois, Ruble, André, Coqueret, Corgnet, and Versaevel are active in this research field
Professor’s Le Courtois‘s expertise deals with the valuation of exotic derivatives (such as Parisian options), the use of Lévy processes in portfolio management and risk management, or the solving of joint interest rate/credit problems. His current research deals with joint health/wealth problems and the construction of associated decision-making frameworks, with the construction of jumpy regime switching pricing models, or with the construction of high order stochastic dominance approaches to optimal portfolio construction.
One of the recent research of Professor Le Courtois develops a framework for computing credit capital requirements under the constant position paradigm and taking into account recovery rates. The investigation provides new results on risk premium adjustment factors. Three different procedures for reconstructing constant position market-consistent histories of credit portfolios from quoted Merrill Lynch indices are given. The reconstructed historical credit values are modeled via mixed empirical-Generalized Pareto Distribution (GPD) dynamics and a detailed parameter estimation is performed.
Professor Tavin research interests encompass the valuation of derivative products, the modeling of commodity prices as well as the management and regulation of financial risks. Professor Coqueret’s interests revolve around heterogeneous agents in financial economics, performance of machine learning models and factor investing in finance. In a joint investigation with Professor Tavin, he extended the agent-based model of Anufriev and Bottazzi (2010) to the case with many risky assets.
Professor Ruble’s current research projects include understanding the repercussions of patent pledges by such firms as IBM, Tesla and Toyota of innovation and platform competition, and studying the relationship between FDI and tax competition (with Dimitrios Zormpas).
Professor Versaevel’s research concentrates on the economics of R&D in the biopharmaceutical industry context. He is currently involved in a project that aims at characterizing the connection between pricing policies in low- and high-income economies and incentives to invest in the development of a new medicine.