saplaouras|alexandros

I am the principal investigator of the H.F.R.I. project "Stability and Numerics for BSDEs under Uncertainty and Applications (START)" (S.A.5, Proposal No: 235), hosted by the School of Applied Mathematical and Physical Sciences of National Technical University of Athens (NTUA).

Previously, I was Post-Doctoral Assistant Professor at the Department of Mathematics of the University of Michigan and member of the group of the Financial and Actuarial Mathematics Research Group. My research mentor was Erhan Bayraktar. I obtained my PhD in July 2017 under the supervision of Antonis Papapantoleon, at Technische Universität Berlin while associated with the RTG 1845 and the Berlin Mathematical School. My master as well as my undergraduate studies were completed at the School of Applied Mathematical and Physical Sciences at National Technical University of Athens. 

Research interests

Stochastic analysis, applied probability, limit theorems for stochastic processes and their numerical implementations, Lévy processes, forward-backward stochastic differential equations with jumps, model uncertainty problems in mathematical finance.

Publications -  arXiv, Google Scholar, ORCiD

A. Papapantoleon, D. Possamaï, A. Saplaouras, Stability of backward differential equations: the general Lipschitz case, Electronic Journal of Probability Volume 28 (2023), pp. 1-56.

A. Papapantoleon, D. Possamaï, A. Saplaouras, Stability results for martingale representations: the general case, Transactions of the American Mathematical Society 372 (2019), pp. 5891-5946.

A. Papapantoleon, D. Possamaï, A. Saplaouras, Existence and uniqueness results for BSDE with jumps: the whole nine yards, Electronic Journal of Probability Volume 23 (2018), paper no. 121, pp. 1-68.

Preprints

A. Saplaouras, A general and sharp regularity condition for integro-differential equations with non-dominated measures, arXiv.

C. Liu, A. Papapantoleon, A. Saplaouras, Convergence rates for Backward SDEs driven by Lévy processes, arXiv.

Honors and Awards

The B. Alan Taylor Award, Department of Mathematics, University of Michigan (2019). - in recognition of outstanding teaching in Mathematics

PhD Thesis

Backward stochastic differential equations with jumps are stable, Institute für Mathematik, TU Berlin, 2017.

Master Thesis

Lévy processes and G-Lévy processes, Mathematical Modelling in Modern Technologies and in Finance, National Technical University of Athens, 2012. - the thesis is written in English

Diploma Thesis

Το θεώρημα Milyutin, School of Applied Mathematical and Physical Sciences, National Technical University of Athens, 2010. - the thesis is written in Greek

Teaching

Research projects

Principal Investigator of the H.F.R.I. project "Stability and Numerics for BSDEs under Uncertainty and Applications (START)"

Member of the DAAD PROCOPE program 57050542: “Financial markets in transition: mathematical models and challenges”

Member of the DAAD IKYDA program 54718970: “Stochastic Analysis in Finance and Physics”

Short-term visits

Nanyang Technological University, A. Neufeld, 28 October - 01 November 2019, Singapore, Singapore

Université Paris Dauphine (CEREMADE), D. Possamaï, 15 October 2015 - 15 January 2016, Paris, France 

Université Paris Dauphine (CEREMADE), D. Possamaï, 21 - 25 September 2015, Paris, France 

Université Paris Dauphine (CEREMADE), D. Possamaï, 02 - 07 November 2014, Paris, France 

Invited talks 

Stochastic Methods in Finance and Physics, 2023, Heraklion, Greece

Princeton University, Financial Mathematics Seminar, 2019, Princeton, USA

Nanyang Technological University, School of Physical and Applied Sciences Seminar, 2019, Singapore, Republic of Singapore

Stochastic Methods in Finance and Physics, 2018, Heraklion, Greece

Summer School on "Numerical Analysis for deterministic and stochastic differential equations", 2018, Athens, Greece

Center for Financial Mathematics & Actuarial Research, 2018, Santa Barbara, USA

Workshop on Stochastic Analysis applied to economics, finance and insurance, 2018, Santiago, Chile

Berlin-Paris Young Researchers Workshop, Stochastic Analysis with applications in Biology and Finance, 2016, Berlin, Germany

National Technical University of Athens, Division of Mathematics Seminar, 2016, Athens, Greece

Probabilités et Mathématiques financières Seminar, 2016, Évry, France - the page is in French

Contributed talks - inter alia

SIAM Conference on Financial Mathematics and Engineering, 2019, Toronto, Canada

Workshop on BSDEs and SPDEs, 2017, Edinburgh, United Kingdom 

9th European Summer School in Financial Mathematics, 2016, Pushkin - Saint Petersburg, Russia

9th World Congress of the Bachelier Finance Society, 2016, New York City, USA

12th German Probability and Statistics Days, 2016, Bochum, Germany

Travel grants for international Conferences - inter alia

Stochastic Methods in Finance and Physics, 2015, Heraklion, Greece - poster presentation

Methods of Mathematical Finance, a conference in honor of Steven Shreve's 65th birthday, 2015, Pittsburgh, USA - poster presentation

7th European Summer School in Financial Mathematics, 2014, Oxford, England

Poster - here you can see one of the posters I have presented