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Wim Schoutens
Katholieke Universiteit Leuven
Department of Mathematics
Celestijnenlaan 200 B
B-3001 Leuven
Belgium - K.U.Leuven, Ph. D. (Computer Science - Informatica) (1994)
- Prof. Schoutens lectures at K.U. Leuven while often consulting and training within the banking industry. He has authored or edited several books with emphasis on Lévy processes.
- His research interests cover all areas of financial mathematics, in particular Lévy jump models. He recently has published in leading journals i.a. on advanced equity models, model risks, hedging of variance swaps, jump driven credit models, multivariate financial engineering, pricing and hedging of credit derivatives (CDSs, CDOs, CMSs, CPPIs, CPDOs, ABSs, ...)
| Contact: | | Email address secured by Enkoder. | | Phone | +32 16 32 20 27 | | Fax | +32 16 32 28 31 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Modeling A Multivariate Jump-Driven Financial Asset Model
by Elisa Luciano of the University of Turin and ICER, and
Wim Schoutens of Katholieke Universiteit Leuven
(915K PDF) -- 33 pages -- October 16, 2006 Jumps in Intensity Models
by Jessica Cariboni of European Commission--Joint Research Centre and Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(518K PDF) -- 30 pages -- May 4, 2006 Credit Derivatives Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 Single Name Credit Default Swaptions Meet Single Sided Jump Models
by Henrik Jönsson of EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(212K PDF) -- 18 pages -- October 3, 2007 Let's Jump Together - Pricing of Credit Derivatives: From Index Swaptions to CPPIs
by João Garcia of Dexia Group,
Serge Goossens of Dexia Bank, and
Wim Schoutens of Katholieke Universiteit Leuven
(250K PDF) -- 14 pages -- May 8, 2007 Pricing Credit Default Swaps under Lévy Models
by Jessica Cariboni of the European Commission, and
Wim Schoutens of Katholieke Universiteit Leuven
(252K PDF) -- 23 pages -- November 22, 2004 Collateralized Debt Obligations Do Not Forget the Cancellation: Marking-to-market and hedging LCDX tranches
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(176K PDF) -- 5 pages -- March 11, 2009 Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
by Péter Dobránszky of Finalyse SA, FORTIS Bank & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(216K PDF) -- 14 pages -- July 29, 2008 Comparing Some Alternative Lévy Base Correlation Models for Pricing and Hedging CDO Tranches
by Viktoriya Masol of Katholieke Universiteit Leuven & EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(862K PDF) -- 16 pages -- March 2008 Lévy Base Correlation
by João Garcia of Dexia Group,
Serge Goossens of Dexia Bank,
Viktoriya Masol of Katholieke Universiteit Leuven & EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(175K PDF) -- 15 pages -- September 4, 2007 Break on Through to the Single Side
by Dilip Madan of the University of Maryland, and
Wim Schoutens of Katholieke Universiteit Leuven
(163K PDF) -- 20 pages -- July 26, 2007 A Generic One Factor Lévy Model for Pricing Synthetic CDOs
by Hansjörg Albrecher of the Radon Institute, Austrian Academy of Sciences, Linz & Graz University of Tech.
Sophie A. Ladoucette of Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(246K PDF) -- 20 pages -- September 2006 Supervisory Lévy Processes and the Financial Crisis: Can we design a more effective deposit protection?
by Sara Maccaferri of European Commission, Joint Research Centre & Katholieke Universiteit Leuven,
Jessica Cariboni of European Commission, Joint Research Centre, and
Wim Schoutens of Katholieke Universiteit Leuven
(1578K PDF) -- 24 pages -- 2013 Other Credit Hedging under the Heston Model with Jump-to-Default
by Peter Carr of Bloomberg LP & Courant Institute of Mathematical Sciences, and
Wim Schoutens of Katholieke Universiteit Leuven
(217K PDF) -- 12 pages -- September 21, 2007  | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | Lévy Processes in Credit Risk
by Wim Schoutens, Jessica Cariboni,
Wiley, (September 22, 2009), Hardcover, 200 pages |  | Exotic Option Pricing and Advanced Lévy Models
editors Andreas Kyprianou, Wim Schoutens, Paul Wilmott,
Wiley, (October 21, 2005), Hardcover, 344 pages |  | Lévy Processes in Finance: Pricing Financial Derivatives
by Wim Schoutens,
Wiley, (May 23, 2003), Hardcover, 196 pages |  | Stochastic Processes and Orthogonal Polynomials
by Wim Schoutens,
Springer, (April 27, 2000), Paperback, 184 pages |
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