Schoutens, Wim

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Biography

Wim Schoutens


Wim Schoutens has a degree in Computer Science and a PhD in Science, Mathematics. He is a research professor in the Department of Mathematics at the Catholic University of Leuven, Belgium and a consultant to the banking industry. Wim Schoutens is author of the Wiley book Lévy Processes in Finance: Pricing Financial Derivatives and editor (together with Kyprianou, Andreas E. and Wilmott, Paul) of the Wiley-book Exotic Option Pricing and Advanced Lévy Models.

He has published i.a. on advanced equity models, model risks, hedging of variance swaps, the Heston volatility model, jump driven credit models and multivariate financial modeling. He teaches several courses related to financial engineering in different Master programs and is an engaging lecturer for the financial industry.


Publications

Books

  • Schoutens, W. (2003) Lévy Processes in Finance: Pricing Financial Derivatives. Wiley.
  • Schoutens, W. (2000) Stochastic Processes and Orthogonal Polynomials. Lecture Notes in Statistics 146. Springer-Verlag. New York.


Editor of Books

  • Kyprianou, A.E., Schoutens, W. and Wilmott, P. (eds.) (2005) Exotic Option Pricing and Advanced Levy Models. Wiley.


Publications in International Journals

  • Decamps, M., Goovaerts, M. and Schoutens, W. (2006) Self exciting threshold interest rates models. Asymmetric skew Bessel processes and their applications to finance. International Journal of Theoretical and Applied Finance, 9 (7), 1093-1122..
  • Luciano, E. and Schoutens, W. (2006) A Multivariate Jump-Driven Financial Asset Model. Quantitative Finance 6 (5), 385-402.
  • Corcuera, J.M., Guerra, J., Nualart, D. and Schoutens, W. (2006) Optimal investement in a Lévy market. Applied Mathematics and Optimization.
  • Campolongo, F., Cariboni, J. and Schoutens, W. (2006) The Importance of Jumps in Pricing European Options. Reliab. Eng. Syst. Saf. 91(10-11), 1148-1154.
  • Schoutens, W. (2006) Exotic options under Lévy models: An overview. Journal of Compuational and Applied Mathematic, 189, 526-538.
  • Decamps, M., Goovaerts, M. and Schoutens, W. (2006) Asymmetric skew Bessel processes and their applications to finance. Journal of Compuational and Applied Mathematics 186 (1), 130-147.
  • Barrieu, P.M. and Schoutens, W. (2006) Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Journal of Computational and Applied Mathematics, 186 (1), 300-323.
  • Schoutens W. (2005) Moment Swaps. Quantitative Finance 5 (6), 525-530.
  • Albarran Alguilar, L. and Schoutens W. (2005) Do you know how much you pay ? The effects of transaction costs on delta-hedging strategies. Wilmott Magazine. June Issue.
  • Beirlant, J., Schoutens, W. and Segers, J. (2005) Mandelbrot's Extremism. Wilmott Magazine, March Issue, 97-103.
  • Albrecher, H., Dhaene, J., Goovaerts, M. and Schoutens, W. (2005) Static Hedging of Asian Options under Levy Models: The Comonotonicity Approach. Journal of Derivatives 12 (3), 63 - 72.
  • Decamps, M., De Schepper, A., Goovaerts, M. and Schoutens, W. (2005) A note on some new perpetuities. Scandinavian Actuarial Journal 4, 261-270 .
  • Corcuera, J.M, Nualart, D. and Schoutens, W. (2005) Completion of a Lévy Market by Power-Jump-Assets. Finance and Stochastics 9 (1), 109-127.
  • Schoutens, W., Simons, E. and Tistaert, J. (2004) A Perfect calibration ! Now what ? Wilmott Magazine, March 2004.
  • Schoutens, W. and Symens, S. (2003) The Pricing of Exotic Options by Monte-Carlo Simulations in a Levy Market with Stochastic Volatility. International Journal for Theoretical and Applied Finance 6 (8), 839-864.
  • Schoutens, W. and Studer, M. (2003) Short-term risk management using stochastic Taylor expansions under Lévy models. Insurance: Mathematics and Economics 33, 173-188.
  • Morales, M. and Schoutens, W. (2003) A risk model driven by Lévy processes. Appl. Stoch. Models Bus. Ind. 19 (2), 147-167.
  • Privault, N. and Schoutens, W. (2002) Discrete chaotic calculus and covariance identities. Stochastics and Stochastics Reports 72 (3-4), 289-315.
  • Nualart, D. and Schoutens, W. (2001) BSDE's and Feynman-Kac Formula for Levy Processes with Applications in Finance. Bernoulli 7 (5), 761-776.
  • Schoutens, W. (2001) Orthogonal Polynomials in Steins Method. Journal of Mathematical Analysis and Applications 253, 515-531.
  • Schoutens, W. (2001) An application in stochastics of the Laguerre type polynomials. Journal of Computational and Applied Mathematics 133, 593-600.
  • Nualart, D. and Schoutens, W. (2000) Chaotic and Predictable Representations for Levy Processes. Stochastic Processes and their Applications 90 (1), 109-122.
  • Schoutens, W. (2000) Birth and death processes, orthogonal polynomials and limiting conditional distributions. Math. Scientist 25, 87-93.
  • Schoutens, W. and Teugels, J.L. (1998) Levy processes, polynomials and martingales. Communications in Statistics - Stochastic Models 14 (1 & 2), 335-349.
  • Parthasarathy, P.R., Lenin, R.B., Schoutens, W. and Van Assche, W.(1998) A Birth and Death Process related on the Rogers-Ramanujan continued fraction. Journal of Mathematical Analysis and Applications 128, 297-315.
  • Schoutens, W. (1998) Levy-Sheffer and I.I.D.-Sheffer polynomials with applications to stochastic integrals. Journal of Computational and Applied Mathematics 99 (1 & 2), 365-372.
  • Schoutens, W. (1998) Sheffer systems with applications to stochastic integrals. Aportaciones Matematicas Modelos Estocasticos 14, 317-324.


Publications in Books

  • Schoutens, W., Simons, E. and Tistaert, J. (2005) A Perfect Calibration ! Now what ? In: Wilmott, P. (ed.) Best of Wilmott 2, Wiley.
  • Schoutens, W., Simons, E. and Tistaert, J. (2005) Model Risk for Exotic and Moment Derivatives. In: Kyprianou, A.E. et al. (Eds.) Exotic Option Pricing and Advanced Lévy Models, Wiley., pp. 67-97.
  • Albrecher, H. and Schoutens, W. (2005) Static Hedging of Asian Options under Stochastic Volatility Models using Fast Fourier Transform. In: Kyprianou, A.E. et al. (Eds.) Exotic Option Pricing and Advanced Lévy Models, Wiley, pp. 129-147.
  • Corcuera, J.M., Nualart, D. and Schoutens, W. (2005) Moment Derivatives and Lévy-type Market Completion. In: Kyprianou, A.E. et al. (Eds.) Exotic Option Pricing and Advanced Lévy Models, Wiley, pp. 169-193.