David Ruiz Banos

• Banos, David R. & Salvesen, Kristopher (2026). A critical statistical analysis of Norwegian transgender referral data. Journal of Gender Studies. ISSN 0958-9236. doi: 10.1080/09589236.2026.2671868. Full text in Research Archive Show summary

  This article critically analyzes referral data for gender-affirming care in Norway, focusing on two publicly available datasets: referrals to the National Center for Gender Incongruence (NCGI) and registrations at the Municipal Health Clinic for Gender and Sexuality (HCGS) in Oslo. Referral trends to gender identity clinics are often framed as sudden, sharp, or alarming increases, yet such interpretations are rarely assessed against demographic baselines or sociopolitical context. We examine whether Norwegian referral patterns support claims of exponential growth, whether structural changes can be detected statistically, and how observed counts compare with plausible population-level expectations. Using descriptive trend analysis and change point detection, we identify structural shifts around 2016 and 2020, corresponding to the Norwegian Gender Recognition Act and the COVID-19 pandemic. We find no evidence of sustained exponential growth. Instead, the data indicate gradual increases, periods of stabilization, and context-dependent interruptions. Monte Carlo simulations for the NCGI child and adolescent sample suggest that observed referrals remain within, or below, ranges implied by comparable population estimates. The article offers a transferable framework for contextualizing referral data and argues for careful, non-pathologizing interpretation of trans health statistics.

• Mostue, Idunn Aamnes; Venegas, Guillermo Andrés Valenzuela; Baños, David; Storelvmo, Trude & Zeyringer, Marianne (2026). Widespread increase in frequency and duration of European wind droughts based on CMIP6 projections. iScience. 29(3). doi: 10.1016/j.isci.2026.115075. Full text in Research Archive Show summary

  To combat climate change, wind power represents an important energy source. However, the availability and reliability of wind resources are subject to weather conditions and the potential impact of climate change. This study utilizes five CMIP6 model projections under the high-emission SSP5-8.5 scenario to analyze future wind speeds and extreme wind events across Europe for the periods 2040–2059 and 2080–2099. We find a widespread increase in the annual frequency of weak wind events up to 10%–20% in some regions, most significantly over western Europe. While winter frequencies for weak winds may decrease in some regions, the duration of these events is projected to rise in northern and eastern Europe. Conversely, and with less model agreement, strong wind events could increase by up to 70% in the southern North Sea and offshore northern Spain. These results underscore the critical need for climate adaptive and climate-resilient energy systems planning.

• Banos, David Ruiz; Ortiz-Latorre, Salvador & Font, Oriol Zamora (2026). A functional variational approach to pricing path dependent insurance policies. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. Full text in Research Archive Show summary

  The main purpose of this work is the derivation of a path-dependent partial differential equation for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial asset. To this end, we employ variational techniques from the theory of functional Itô calculus.

• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2024). Change of measure in a Heston–Hawkes stochastic volatility model. Advances in Applied Probability. ISSN 0001-8678. 56, p. 1370–1399. doi: 10.1017/apr.2024.14. Full text in Research Archive Show summary

  We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance, insurance, epidemiology, seismology, and other fields. We prove a general result on the existence of a family of equivalent (local) martingale measures. We apply this result to a particular example where the sizes of the jumps are exponentially distributed. Finally, a practical application to efficient computation of exposures is discussed.

• Amine, Oussama; Baños, David & Proske, Frank Norbert (2024). C∞-Regularization by Noise of Singular ODE’s. Journal of Dynamics and Differential Equations. ISSN 1040-7294. 36, p. 915–974. doi: 10.1007/s10884-024-10355-w. Full text in Research Archive Show summary

  In this paper we construct a new type of noise of fractional nature that has a strong regularizing effect on differential equations. We consider an equation driven by a highly irregular vector field and study the effect of this noise on such dynamical systems. We employ a new method to prove existence and uniqueness of global strong solutions, where classical methods fail because of the “roughness” and non-Markovianity of the driving process. In addition, we prove the rather remarkable property that such solutions are infinitely many times classically differentiable with respect to the initial condition in spite of the vector field being discontinuous. The technique used in this article corresponds, in a certain sense, to the Nash–Moser iterative scheme in combination with a new concept of “higher order averaging operators along highly fractal stochastic curves”. This approach may provide a general principle for the study of regularization by noise effects in connection with important classes of partial differential equations.

• 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. 28(4), p. 744–771. doi: 10.1080/10920277.2023.2254836. Full text in Research Archive Show summary

  The guaranteed minimum maturity benefit (GMMB) is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the financial dynamics, typically represented by interest rates and by the fund associated to the unit-linked policy. A large literature is devoted to the valuation of GMMB for different mortality models, in particular when the mortality dynamics is described by affine models of diffusion type. In the present article we assume a self-exciting behavior for the mortality dynamics, described by a Hawkes-type process with exponential kernel. This allows us to keep both the Markov and affine features but introduces jumps with a stochastic intensity. These types of dynamics, exhibiting a jump clustering property, are quite convenient for describing mortality in some critical situations, like epidemics, where contagion phenomena make the probability of jump arrivals higher whenever a jump occurs. By assuming diffusion-type dynamics for both the fund and the interest rate and introducing all of the possible correlations among the diffusion processes necessary to obtain realistic dynamics, we take advantage of the affine features of the model proposed and compute in a semi-explicit form the value of a GMMB. Lastly, we calibrate our model and perform an empirical analysis to determine the effects of excess mortality on GMMB prices as well as a death benefit portfolio.

• 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 Show summary

  Abstract In this paper we aim at generalizing the results of A. K. Zvonkin ( That removes the drift , 22 , 129, 41) and A. Y. Veretennikov ( Theory Probab. Appl. , 24 , 354, 39) on the construction of unique strong solutions of stochastic differential equations with singular drift vector field and additive noise in the Euclidean space to the case of infinite-dimensional state spaces. The regularizing driving noise in our equation is chosen to be a locally non-Hölder continuous Hilbert space valued process of fractal nature, which does not allow for the use of classical construction techniques for strong solutions from PDE or semimartingale theory. Our approach, which does not resort to the Yamada-Watanabe principle for the verification of pathwise uniqueness of solutions, is based on Malliavin calculus.

• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model. arXiv.org. ISSN 2331-8422. 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 Show summary

  In this paper, we prove the existence of strong solutions to an stochastic differential equation with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<12. Here, the generalized drift is given as the local time of the unknown solution process, which can be considered an extension of the concept of a skew Brownian motion to the case of fractional Brownian motion. Our approach for the construction of strong solutions is new and relies on techniques from Malliavin calculus combined with a “local time variational calculus” argument.

• Baños, David; Lagunas, Marc & Ortiz-Latorre, Salvador (2020). Variance and interest rate risk in unit-linked insurance policies. Risks. 8(3). doi: 10.3390/risks8030084. Full text in Research Archive Show summary

  One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using Norwegian mortality rates. In addition, we compare prices for the classical Black-Scholes model against the Heston stochastic volatility model with a Vasicek interest rate model.

• 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 Show summary

  In this paper we prove, for small Hurst parameters, the higher-order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the bounded variation part is given by the local time of the unknown solution process. The proof of this result relies on Fourier analysis-based variational calculus techniques and on intrinsic properties of the fractional Brownian motion.

• 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
• 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 Show summary

  In this paper we present a new method for the construction of strong solutions of SDE’s with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H<1/2. Furthermore, we prove the rather surprising result of the higher order Fréchet differentiability of stochastic flows of such SDE’s in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a “local time variational calculus”. We expect that our general approach can be also applied to the study of certain types of stochastic partial differential equations as e.g. stochastic conservation laws driven by rough paths.

• 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

  In this paper we aim at modeling stochastic transition rates of state processes in life insurance by using generalized Cox processes. A feature of a our non-Gaussian model is that it can be used to capture ‘regime switching’ effects of data which may be due to regulatory changes in insurance markets or external ‘shocks’ caused e.g. by an economical crisis, natural disasters or epidemics. We propose a method how to estimate the unknown parameters of our model for stochastic transition rates from insurance data by using non-linear filtering techniques for Lévy processes. As a result we also obtain an explicit formula for the unnormalized density of a filtering problem with singular coefficients.

• Banos, David; Cordoni, Francesco; Nunno, Giulia Di; Persio, Luca Di & 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
• 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 Show summary

  In this paper we aim at employing a compactness criterion of Da Prato, Malliavin, Nualart (C. R. Math. Acad. Sci. Paris 315 (1992) 1287–1291) for square integrable Brownian functionals to construct strong solutions of SDE’s under an integrability condition on the drift coefficient. The obtained solutions turn out to be Malliavin differentiable and are used to derive a Bismut–Elworthy–Li formula for solutions of the Kolmogorov equation. We emphasise that our approach exhibits high flexibility to study a variety of other types of stochastic (partial) differential equations as e.g. stochastic differential equations driven by fractional Brownian motion.

• Baños, David; Nunno, Giulia Di; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2018). Stochastic functional differential equations and sensitivity to their initial path. In Celledoni, Elena; Nunno, Giulia Di; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (Ed.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 9783030015923. p. 37–70. doi: 10.1007/978-3-030-01593-0_2. Full text in Research Archive Show summary

  We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending on the past history of the process itself. Such coefficients are hence defined on a functional space. Models with memory appear in many applications ranging from biology to finance. Here we consider the results of some evaluations based on these models (e.g. the prices of some financial products) and the risks connected to the choice of these models. In particular we focus on the impact of the initial condition on the evaluations. This problem is known as the analysis of sensitivity to the initial condition and, in the terminology of finance, it is referred to as the Delta. In this work the initial condition is represented by the relevant past history of the stochastic functional differential equation. This naturally leads to the redesign of the definition of Delta. We suggest to define it as a functional directional derivative, this is a natural choice. For this we study a representation formula which allows for its computation without requiring that the evaluation functional is differentiable. This feature is particularly relevant for applications. Our formula is achieved by studying an appropriate relationship between Malliavin derivative and functional directional derivative. For this we introduce the technique of randomisation of the initial condition.

• 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. 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. 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. Full text in Research Archive
• 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 Show summary

  A well-known application of Malliavin calculus in mathematical finance is the probabilistic representation of option price sensitivities, the so-called Greeks, as expectation functionals that do not involve the derivative of the payoff function. This allows numerically tractable computation of the Greeks even for discontinuous payoff functions. However, while the payoff function is allowed to be irregular, the coefficients of the underlying diffusion are required to be smooth in the existing literature, which for example already excludes simple regime-switching diffusion models. The aim of this article is to generalise this application of Malliavin calculus to Itô diffusions with irregular drift coefficients, where we focus here on the computation of the delta, which is the option price sensitivity with respect to the initial value of the underlying. To this end, we first show existence, Malliavin differentiability and (Sobolev) differentiability in the initial condition for strong solutions of Itô diffusions with drift coefficients that can be decomposed into the sum of a bounded, but merely measurable, and a Lipschitz part. Furthermore, we give explicit expressions for the corresponding Malliavin and Sobolev derivatives in terms of the local time of the diffusion, respectively. We then turn to the main objective of this article and analyse the existence and probabilistic representation of the corresponding deltas for European and path-dependent options. We conclude with a small simulation study of several regime-switching examples. The final version of this research has been published by Finance and Stochastics. © Springer Verlag.

• Baños, David Ruiz; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org. ISSN 2331-8422. Full text in Research Archive
• 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. 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), p. 131–150. doi: 10.31390/cosa.10.2.01. Full text in Research Archive

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• Baños, David & Bernabe, Rosemarie de La Cruz (2025). En akademisk og medisinsk skandale. Forskersonen.no. Full text in Research Archive Show summary

  DEBATT: At seniorforskere med betydelig makt og innflytelse ikke ivaretar pasienters og forskningsdeltakeres rettigheter, og ikke anerkjenner sakens alvor, er dypt urovekkende.

• Baños, David; Marstein, Alma; Patrascu, Monica; Hartmann, Anine; Bromseth, Janne C. Haugnes & Korbmacher, Max (2025). Response to authors’ reply: persistent concerns regarding Nyquist et al. from 15 July 2024. European Child and Adolescent Psychiatry. ISSN 1018-8827. doi: 10.1007/s00787-025-02883-7. Full text in Research Archive
• Baños, David; Marstein, Alma; Patrascu, Monica; Hartmann, Anine; Bromseth, Janne & Korbmacher, Max (2025). Concerns About Nyquist, Torgersen, David, Diseth, Gulbrandsen and Wæhre's “Treatment Trajectories Among Children and Adolescents”. Acta Paediatrica. ISSN 0803-5253. doi: 10.1111/apa.70375. Full text in Research Archive
• Baños, David; Marstein, Alma; Patrascu, Monica; Hartmann, Anine; Bromseth, Janne C. Haugnes & Korbmacher, Max (2025). Concerns about Nyquist et al., published 15 July 2024. European Child and Adolescent Psychiatry. ISSN 1018-8827. doi: 10.1007/s00787-025-02649-1. Full text in Research Archive
• Baños, David; Marstein, Alma; Patrascu, Monica; Hartmann, Anine; Bromseth, Janne C. Haugnes & Korbmacher, Max (2025). Correction to: Concerns about Nyquist et al., published 15 July 2024 (European Child & Adolescent Psychiatry, (2025), 10.1007/s00787-025-02649-1). European Child and Adolescent Psychiatry. ISSN 1018-8827. doi: 10.1007/s00787-025-02668-y. Full text in Research Archive
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes Stochastic Volatility Model: Change of Measure and Forward Variance. Full text in Research Archive
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: change of measure and forward variance. Full text in Research Archive
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Change of measure in a Heston-Hawkes stochastic volatility model. Full text in Research Archive
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: Change of measure and Thiele's PIDE. Full text in Research Archive
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2022). Change of measure in a Heston-Hawkes stochastic volatility model. Full text in Research Archive
• 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. Full text in Research Archive
• 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. Full text in Research Archive
• Baños, David; Nunno, Giulia Di & Proske, Frank Norbert (2013). SENSITIVITY ANALYSIS IN A MARKET WITH MEMORY. Universitetet i Oslo. Full text in Research Archive Show summary

  A general market model with memory is considered. The formulation is given in terms of stochastic functional di erential equations, which allow for exibility in the modeling of market memory and delays. We focus on the sensitivity analysis of the dependence of option prices on the memory. This implies a generalization of the concept of delta. Our techniques use Malliavin calculus and Fréchet derivation. When it comes to option prices, we consider both the risk-neutral and the benchmark approaches and we compute the delta in both cases. Some examples are provided.

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