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