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, …)

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

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

Credit Correlation

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

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

Books:

	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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