David Ruiz Baños

David Ruiz Baños, born on the 3rd of December 1987 in Barcelona.
Vita:
Associate professor tenure-track at the University of Oslo, May 2019-currently.
Associate professor at Inland Norway University of Applied Sciences, August 2017-May 2019.
Adjunct professor (20%) at the University of Oslo, January 2018-May 2019.
Postdoctoral Fellow at the University of Oslo, October 2016-July 2017.
Postdoctoral research stay at the Institute of Mathematics of the University of Barcelona, January-May 2016.
PhD: Regularity of Stochastic Flows of Stochastic Differential Equations with Singular Coefficients and Applications to Finance (Sup: Prof. Frank Proske, Prof. Giulia Di Nunno, Prof. Bernt Øksendal), 2011-2015
Master degree in pure mathematics, University of Barcelona, 2010-2011
Bachelor in pure mathematics (Spanish licenciatura), University of Barcelona, 2006-2010
Research interests:
Insurance mathematics, mathematical finance, stochastic differential equations, fractional Brownian motion, Malliavin calculus and regularity of densities of Itô processes.
Teaching:
University of Oslo
-
STK4500/9500: Life insurance and Finance (Spring 2020/Spring 2021)
-
STK4540: Non-Life Insurance Mathematics (Fall 18/ Fall 19)
-
STK-MAT2011: Project work in finance, insurance, risk and data analysis (Spring 17)
-
STK2130: Modelling by Stochastic Processes (Spring 13/ Spring 14)
-
STK1000: Introduction to Applied Statistics (Fall 12/ Fall 15)
-
FRM4110: Applied Statistics for Pharmacists (Spring 12)
-
STK2120: Statistical Methods and Data Analysis II (Spring 12)
-
STK1110: Statistical Methods and Data Analysis I (Fall 11/ Fall 13)
Inland Norway University of Applied Sciences
- 3MET130 Statististics for economists (Spring 18/ Spring 19)
- 3MET120 Mathematics for economists (Fall 17/ Fall 18)
Polytechnic University of Catalonia
- Geometry (first course for civil engineers) (Spring 11)
Supervision:
-
PhD co-supervisor of Marc Lagunas (Public defence: November 6th, 2020)
-
Materstudents: Wei Liu (2018), Kristoffer Huertas (ongoing), Jonas Augdal (ongoing, in collaboration with Sparebank1), Erik Martínez Jensen (ongoing), Åsmund Sande (ongoing).
Publications
- Amine, Oussama; Baños, David & Proske, Frank Norbert (2020). Regularity properties of the stochastic flow of a skew fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 0219-0257. 23(1) . doi: 10.1142/S0219025720500058
- Baños, David; Lagunas, Marc & Ortiz-Latorre, Salvador (2020). Variance and interest rate risk in unit-linked insurance policies. Risks. ISSN 2227-9091. 8(3) . doi: 10.3390/risks8030084 Full text in Research Archive.
- Baños, David Ruiz; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2019). Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift. Journal of Dynamics and Differential Equations. ISSN 1040-7294. 32, s 1819- 1866 . doi: 10.1007/s10884-019-09789-4 Full text in Research Archive. Show summary
- Baños, David; Bauer, Martin; Meyer-Brandis, Thilo & Proske, Frank Norbert (2019). Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise. arXiv.org. ISSN 2331-8422. Full text in Research Archive.
- Banos, David; Bølviken, Erik; Duedahl, Sindre & Proske, Frank Norbert (2019). Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes. Scandinavian Actuarial Journal. ISSN 0346-1238. . doi: 10.1080/03461238.2019.1636858 Full text in Research Archive. Show summary
- Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca & Røse, Elin Engen (2019). Stochastic systems with memory and jumps. Journal of Differential Equations. ISSN 0022-0396. 266(9), s 5772- 5820 . doi: http://dx.doi.org/10.1016/j.jde.2018.10.052 Full text in Research Archive.
- Amine, Oussama; Banos, David & Proske, Frank Norbert (2018). Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org. ISSN 2331-8422. . doi: 10.1142/s0219025720500058
- Baños, David Ruiz (2018). The Bismut-Elworthy-Li formula for mean-field stochastic differential equations. Annales de l'I.H.P. Probabilites et statistiques. ISSN 0246-0203. 54(1), s 220- 233 . doi: 10.1214/16-AIHP801
- Baños, David Ruiz; Duedahl, Sindre; Meyer-Brandis, Thilo & Proske, Frank Norbert (2018). Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle. Annales de l'I.H.P. Probabilites et statistiques. ISSN 0246-0203. 54(3), s 1464- 1491 . doi: 10.1214/17-AIHP845 Full text in Research Archive.
- Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2018). Stochastic functional differential equations and sensitivity to their initial path, In Elena Celledoni; Giulia Di Nunno; Kurusch Ebrahimi-Fard & Hans Munthe-Kaas (ed.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISBN 978-3-030-01592-3. 2. s 37 - 70
- Baños, David Ruiz; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org. ISSN 2331-8422.
- Baños, David Ruiz & Krühner, Paul (2017). Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients. Stochastic Processes and their Applications. ISSN 0304-4149. 127(6), s 1785- 1799 . doi: 10.1016/j.spa.2016.09.015
- Baños, David Ruiz; Meyer-Brandis, Thilo; Proske, Frank Norbert & Duedahl, Sindre (2017). Computing Deltas without Derivatives. Finance and Stochastics. ISSN 0949-2984. 21(2), s 509- 549 . doi: 10.1007/s00780-016-0321-3 Full text in Research Archive.
- Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of d-dimensional SDE's with generalized drift and fractional Brownian initial noise. arXiv.org. ISSN 2331-8422. . doi: https://arxiv.org/abs/1705.01616 Full text in Research Archive.
- Baños, David Ruiz & Proske, Frank Norbert (2017). C-infinity-regularization by Noise of Singular ODE's. arXiv.org. ISSN 2331-8422. . doi: arXiv:1710.05760[math.FA] Full text in Research Archive.
- Baños, David Ruiz & Krühner, Paul (2016). Optimal density bounds for marginals of Itô processes. Communications on Stochastic Analysis. ISSN 0973-9599. 10(2), s 131- 150 . doi: 10.31390/cosa.10.2.01
- Baños, David Ruiz & Nilssen, Torstein Kastberg (2016). Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. 88(4), s 540- 566 . doi: 10.1080/17442508.2015.1102265
- Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise.
- Nilssen, Torstein Kastberg; Baños, David Ruiz & Proske, Frank Norbert (2016). Strong Existence and higher order differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift.