David Ruiz Baños
David Ruiz Baños (he/him), born on the 3rd of December 1987 in Barcelona.
Vita:
Associate professor tenuretrack at the University of Oslo, May 2019currently.
Associate professor at Inland Norway University of Applied Sciences, August 2017May 2019.
Adjunct professor (20%) at the University of Oslo, January 2018May 2019.
Postdoctoral Fellow at the University of Oslo, October 2016July 2017.
Postdoctoral research stay at the Institute of Mathematics of the University of Barcelona, JanuaryMay 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), 20112015
Master degree in pure mathematics, University of Barcelona, 20102011
Bachelor in pure mathematics (Spanish licenciatura), University of Barcelona, 20062010
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 2020, Spring 2021, Spring 2022)

STK4540: NonLife Insurance Mathematics (Fall 18/ Fall 19)

STKMAT2011: 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 (20212024)

PhD cosupervisor of Åsmund Hausken Sande (20212024)

PhD cosupervisor of Marc Lagunas (Public defence: November 6th, 2020)

Materstudents: Wei Liu (Fall 2018), Åsmund Hausken Sande (Spring 2021), Kristoffer Huertas (Spring 2021), Erik Martínez Jensen (Spring 2022), Vegard Enerstvedt (Spring 2022), Thomas Løland (Spring 2022).
Publications

Baños, David Ruiz; OrtizLatorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2021). Strong solutions of ddimensional SDE's with generalized drift and fractional Brownian initial noise. Journal of theoretical probability. ISSN 08949840. 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 02190257. 23(1). doi: 10.1142/S0219025720500058. Full text in Research Archive

Baños, David; Lagunas, Marc & OrtizLatorre, Salvador (2020). Variance and interest rate risk in unitlinked insurance policies. Risks. ISSN 22279091. 8(3). doi: 10.3390/risks8030084. Full text in Research Archive

Baños, David; Bauer, Martin; MeyerBrandis, Thilo & Proske, Frank Norbert (2019). Restoration of WellPosedness of Infinitedimensional Singular ODE's via Noise. arXiv.org. ISSN 23318422. 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 00220396. 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 03461238. doi: 10.1080/03461238.2019.1636858. Full text in Research Archive Show summary

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 10407294. 32, p. 1819–1866. doi: 10.1007/s10884019097894. Full text in Research Archive Show summary

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; EbrahimiFard, Kurusch & MuntheKaas, Hans (Ed.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 9783030015923. p. 37–70. doi: 10.1007/9783030015930_2. Show summary

Amine, Oussama; Banos, David & Proske, Frank Norbert (2018). Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org. ISSN 23318422. doi: 10.1142/s0219025720500058.

Baños, David Ruiz; Duedahl, Sindre; MeyerBrandis, Thilo & Proske, Frank Norbert (2018). Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the YamadaWatanabe principle. Annales de l'I.H.P. Probabilites et statistiques. ISSN 02460203. 54(3), p. 1464–1491. doi: 10.1214/17AIHP845. Full text in Research Archive

Baños, David Ruiz (2018). The BismutElworthyLi formula for meanfield stochastic differential equations. Annales de l'I.H.P. Probabilites et statistiques. ISSN 02460203. 54(1), p. 220–233. doi: 10.1214/16AIHP801.

Baños, David Ruiz & Proske, Frank Norbert (2017). Cinfinityregularization by Noise of Singular ODE's. arXiv.org. ISSN 23318422. Full text in Research Archive

Baños, David Ruiz; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org. ISSN 23318422.

Baños, David Ruiz; MeyerBrandis, Thilo; Proske, Frank Norbert & Duedahl, Sindre (2017). Computing Deltas without Derivatives. Finance and Stochastics. ISSN 09492984. 21(2), p. 509–549. doi: 10.1007/s0078001603213. 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 03044149. 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 09739599. 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 17442508. 88(4), p. 540–566. doi: 10.1080/17442508.2015.1102265.

Baños, David Ruiz; OrtizLatorre, 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.