This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises.The first chapter shows that financial recessions are typically characterised by a large ...
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...
Operation of a tokamak device requires the coordinated operation of a multitude of systems. The sequence of operations during a discharge is both too complex and fast for human interaction. A common way of operation is a predefined sequence of operations w ...
This thesis is inscribed in the recent efforts to reconnect urban planning and public health. It focused on the context of sub-Saharan African cities, for they offer invaluable lessons regarding environmental health determinants and potential solutions to ...
With the overall goal of reducing the numerical burden of uncertainty quantification involved in seismic risk assessments, this paper examines opportunities for assessment of seismic collapse capacity and risk using data-driven surrogates as a complement t ...
Coronary heart disease (CHD) is one of the most pressing health problems of our time and a major cause of preventable death. CHD results from complex interactions between genetic and environmental factors. Using multiplex serological testing for persistent ...
This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
