David Ruiz Baños

Associate Professor Tenure Track
Image of David Ruiz Baños
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Phone +47-22855884
Room 1007
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Visiting address Niels Henrik Abels hus Moltke Moes vei 35 0851 OSLO
Postal address Postboks 1053 Blindern 0316 Oslo

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.

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, stochastic differential equations, fractional Brownian motion, Malliavin calculus, regularity of densities of Itô processes and mathematical finance.

Works in progress

  1. Pricing and hedging of unit-linked insurance policies with respect to rough stochastic volatility models, with M. Lagunas and S. Ortiz-Latorre.

  2. Modelling and optimization of oil production in a stochastic framework, with A. B. Huseby.

  3. Strong Uniqueness of Singular Stochastic Delay Equations, with H. Haferkorn and F. Proske. Available in arXiv

  4. Lipschitz continuous densities of solutions of SDEs with measurable and path dependent drift coefficients: optimal regularity of Fokker-Planck equation, with P. Krühner.

Teaching:

Inland Norway University of Applied Sciences

  • 3MET130 Statististics for economists (Spring 18/ Spring 19)
  • 3MET120 Mathematics for economists (Fall 17/ Fall 18)

University of Oslo

  • STK4540: Non-Life Insurance Mathematics (Fall 18/ Fall 19)

  • STK2-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)

Polytechnic University of Catalonia

  • Geometry (first course for civil engineers) (Vår 11)

Supervision:

  • Subsidiary PhD supervisor of Marc Lagunas.

  • Materstudents: Wei Liu (together with Prof. Frank Proske).

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

Publications

  • 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.
  • 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.
  • 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
  • Banos, David; Bølviken, Erik; Duedahl, Sindre & Proske, Frank Norbert (2018). Modeling and Estimation of Stochastic Transition Rates in Life Insurance with Regime Switching Based on Generalized Cox Processes. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439. 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
  • 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; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2016). Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift. arXiv.org.  ISSN 2331-8422.

View all works in Cristin

  • 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 May 16, 2019 10:36 AM