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Wim Schoutens

 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 LÚvy processes.
  • His research interests cover all areas of financial mathematics, in particular LÚvy 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, ...)

 

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Phone +32 16 32 20 27
Fax +32 16 32 28 31
e-mail

 

External links for Wim Schoutens and his worksOfficial Page "Personal" Page
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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 J÷nsson 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 J÷nsson 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 JoŃo 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 LÚvy 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 PÚter Dobrßnszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(176K PDF) -- 5 pages -- March 11, 2009

Generic LÚvy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
by PÚter Dobrßnszky 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 LÚvy 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

LÚvy Base Correlation
by JoŃo 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 LÚvy Model for Pricing Synthetic CDOs
by Hansj÷rg 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

LÚvy 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

Books & Book Chapters:

Encyclopedia of Quantitative Finance (4-Volume Set) Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages
LÚvy Processes in Credit Risk LÚvy Processes in Credit Risk
by Wim Schoutens, Jessica Cariboni,
Wiley, (September 22, 2009), Hardcover, 200 pages
Exotic Option Pricing and Advanced LÚvy Models Exotic Option Pricing and Advanced LÚvy Models
editors Andreas Kyprianou, Wim Schoutens, Paul Wilmott,
Wiley, (October 21, 2005), Hardcover, 344 pages
Levy Processes in Finance: Pricing Financial Derivatives LÚvy Processes in Finance: Pricing Financial Derivatives
by Wim Schoutens,
Wiley, (May 23, 2003), Hardcover, 196 pages
Stochastic Processes and Orthogonal Polynomials Stochastic Processes and Orthogonal Polynomials
by Wim Schoutens,
Springer, (April 27, 2000), Paperback, 184 pages

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