Related papers: Banking risk as an epidemiological model: an optim…

During the last decades, the global prevalence of dengue progressed dramatically. It is a disease which is now endemic in more than one hundred countries of Africa, America, Asia and the Western Pacific. This study addresses a mathematical…

This paper combines a canonical epidemiology model of disease dynamics with government policy of lockdown and testing, and agents' decision to social distance in order to avoid getting infected. The model is calibrated with data on deaths…

An understanding of the disease spreading phenomenon based on a mathematical model is extremely needed for the implication of the correct policy measures to contain the disease propagation. Here, we report a new model namely the Ising-SIR…

In this paper the authors study a model for the optimal operation of a bank or insurance company which was recently introduced by Peura and Keppo. The model generalizes a previous one of Milne and Robertson by allowing the bank to raise…

We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of…

We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…

In this paper, we propose a model predictive control (MPC) method for real-time intervention of spreading processes, such as epidemics and wildfire, over large-scale networks. The goal is to allocate budgeted resources each time step to…

In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi-factor, structured factor, and factor-vine models where the…

This work introduces a novel epidemiological model that simultaneously considers multiple viral strains, reinfections due to waning immunity response over time and an optimal control formulation. This enables us to derive optimal mitigation…

We consider a controlled reaction-diffusion equation, motivated by a pest eradication problem. Our goal is to derive a simpler model, describing the controlled evolution of a contaminated set. In this direction, the first part of the paper…

Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…

We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…

This monograph provides an overview of the mathematical theories and computational algorithm design for contagion source detection in large networks. By leveraging network centrality as a tool for statistical inference, we can accurately…

We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…

In this survey we report some recent results in the mathematical modeling of epidemic phenomena through the use of kinetic equations. We initially consider models of interaction between agents in which social characteristics play a key role…

A simple, but ``classical``, stochastic model for epidemic spread in a finite, but large, population is studied. The progress of the epidemic can be divided into three different phases that requires different tools to analyse. Initially the…

To examine the relation between profitability and business models (BMs) across bank sizes, the paper proposes a research strategy based on machine learning techniques. This strategy allows for analyzing whether size and profit performance…

We propose and analyse an optimal control problem where the control system is a mathematical model for tuberculosis that considers reinfection. The control functions represent the fraction of early latent and persistent latent individuals…

We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with mutual obligations, the central agent seeks to inject a…

Understanding the timing of the peak of a disease outbreak forms an important part of epidemic forecasting. In many cases, such information is essential for planning increased hospital bed demand and for designing of public health…