David Ruiz Banos

Associate Professor - Risk and Stochastics
Image of David Ruiz Banos
Norwegian version of this page
Phone +47 22855884
Room 1007
Username
Visiting address Niels Henrik Abels hus Moltke Moes vei 35 0851 OSLO
Postal address Postboks 1053 Blindern 0316 Oslo

David Ruiz Baños (he/him), born on the 3rd of December 1987 in Barcelona. Citizenship: Norwegian and Spanish. Website: https://davidrbanos.wordpress.com/

Vita:

Associate professor at the University of Oslo, from January 2023.

Associate professor tenure-track at the University of Oslo, May 2019-December 2022.

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. Public defence: 4th of September, 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 (reserving, premium calculation, risk), mathematical finance (pricing, hedging, sensitivity), stochastic analysis (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 20, Spring 21, Spring 22, Spring 23, Spring 24)

  • STK-MAT3710/4710: Probability Theory (Fall 23)

  • 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 supervisor of Oriol Zamora (2021-2024)

  • PhD supervisor of Åsmund Hausken Sande (2021-2024)

  • PhD co-supervisor of Idunn Aamnes Mostue (2022-2025)

  • PhD co-supervisor of Marc Lagunas (Public defence: November 6th, 2020)

  • Materstudents: August Fosse (Spring 24), Thomas Løland (Spring 22), Vegard Enerstvedt (Spring 22), Erik Martínez Jensen (Spring 22, awarded Actuarial prize), Åsmund Sande (Spring 21, awarded Actuarial prize), Kristoffer Huertas (Spring 21), Wei Liu (Fall 18).

Projects:

Books:

(In Norwegian) Bli bedre i statistikk: Eksempler og eksamensoppgaver, Universitetetsforlaget 2021. Together with Kristina Rognlien Dahl. Description: Book with a summary of basic topics in statistics with formulas and a collection of solutions of exams.

Tags: Statistics, Stochastic analysis and finance and insurance and risk

Publications

  • Amine, Oussama; Baños, David Ruiz & Proske, Frank Norbert (2024). C-infinity-regularization by Noise of Singular ODE's. Journal of Dynamics and Differential Equations. ISSN 1040-7294. Full text in Research Archive
  • Banos, David Ruiz; Sande, Åsmund Hausken & Sgarra, Carlo (2023). Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration. North American Actuarial Journal (NAAJ). ISSN 1092-0277. doi: 10.1080/10920277.2023.2254836. Full text in Research Archive
  • Baños, David; Bauer, Martin; Meyer-Brandis, Thilo & Proske, Frank Norbert (2023). Restoration of Well-Posedness of Infinite-Dimensional Singular ODE’s via Noise. Potential Analysis. ISSN 0926-2601. doi: 10.1007/s11118-023-10069-6. Full text in Research Archive
  • Baños, David; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2021). Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise. Journal of theoretical probability. ISSN 0894-9840. doi: 10.1007/s10959-021-01084-7. Full text in Research Archive
  • 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. Full text in Research Archive
  • 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; 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; 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), p. 5772–5820. doi: 10.1016/j.jde.2018.10.052. 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
  • 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, p. 1819–1866. doi: 10.1007/s10884-019-09789-4. 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 Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (Ed.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 978-3-030-01592-3. p. 37–70. doi: 10.1007/978-3-030-01593-0_2.
  • 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; 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), p. 1464–1491. doi: 10.1214/17-AIHP845. Full text in Research Archive
  • 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), p. 220–233. doi: 10.1214/16-AIHP801.
  • 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; Meyer-Brandis, Thilo; Proske, Frank Norbert & Duedahl, Sindre (2017). Computing Deltas without Derivatives. Finance and Stochastics. ISSN 0949-2984. 21(2), p. 509–549. doi: 10.1007/s00780-016-0321-3. Full text in Research Archive
  • 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), p. 1785–1799. doi: 10.1016/j.spa.2016.09.015.
  • Baños, David Ruiz & Krühner, Paul (2016). Optimal density bounds for marginals of Itô processes. Communications on Stochastic Analysis. ISSN 0973-9599. 10(2), p. 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), p. 540–566. doi: 10.1080/17442508.2015.1102265.

View all works in Cristin

  • Zamora Font, Oriol; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: Change of measure and Thiele's PIDE.
  • Zamora Font, Oriol; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes Stochastic Volatility Model: Change of Measure and Forward Variance.
  • Zamora Font, Oriol; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: change of measure and forward variance.
  • 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.

View all works in Cristin

Published Sep. 19, 2011 10:47 AM - Last modified Jan. 31, 2024 11:47 AM