Donatien Hainaut's homepage

Welcome on my homepage. In September 2016, I joined the institute of statistics, bio-statistics, and actuarial sciences of the catholic university of Louvain (UCL). My research interests are: quantitative finance, stochastic processes, actuarial sciences and neural networks. Most of my papers are either directly downloadable on this page, on SSRN , or on Researchgate.

Books

September 2022, 360 pages. Springer & Bocconi Series in mathematics, statistics, finance and Economics.

Continuous time processes for finance. Switching, Self-exciting, fractional and other recent dynamics.

This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic nance and practitioners as quantitative analyst or actuaries working in risk management.

2019 : Effective statistical learning methods for actuaries. Volume 3. Neural Networks and Extensions. Joint work with M. Denuit and J. Trufin. Springer Eds

https://www.springer.com/gp/book/9783030258269

Here are some companion programs in R that you can download.

2020 : Effective statistical learning methods for actuaries. Volume 2. Tree-Based methods and extensions. Joint work with M. Denuit and J. Trufin. Springer Eds

https://www.springer.com/gp/book/9783030575557

2019 : Effective statistical learning methods for actuaries. Volume 1. GLMs and extensions. Joint work with M. Denuit and J. Trufin. Springer Eds

.https://link.springer.com/book/10.1007/978-3-030-25820-7

2008 “Asset Liability Management -Individual And Institutional Approaches”. PhD Thesis published by Vdm verlag dr Mueller 2008.

Research articles

The Volterra Stein-Stein model with stochastic interest rates. With. E. Abi-Jaber and E. Motte. ISBA discussion paper.
A multivariate energy-based fairness adjuster for premiums. With C. Jamotton. ISBA discussion paper.
In-processing of actuarial and equity fairness constraints for Neural networks. ISBA discussion paper.
Insurance risk classification with Generalized Gaussian Process Regression models. With M. Denuit. ISBA discussion paper
Optimal control by policy improvements and constrained Gaussian process regressions. With J.L Dupret. ISBA discussion paper (updated 24/4/25)
European option pricing with model constrained Gaussian process regression. With F. Vrins. ISBA discussion paper (updated 10/12/24)
Latent Dirichlet Allocation for structured insurance data. With C. Jamotton. ISBA discussion paper
2025 Deep learning for continuous-time stochastic control with jumps. With J.L. Dupret and P. Cheridito. Accepted to NeurIPS 2025.
2025 Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution. With Jean-Loup Dupret Accepted in Operations Research.
2025 American option pricing with model constrained Gaussian process regression. Accepted in Applied Mathematics and Computation.
2025 Efficient hedging of life insurance portfolio for loss-averse insurers. With E. Motte. Insurance: Mathematics & Economics. 123, 103116
2025 Participating life insurances in an equity-Libor market model. With L. Devineau. European Actuarial Journal 15, 381-415
2025 Optimal liquidation under indirect price impact with propagator. With J.L. Dupret. Quantitative Finance. 19, pages 143–181
2025 The rough Hawkes process. With M. Chen and E. Scalas. Communications in Statistics - Theory and methods, 54 (11), 3322-3349, https://www.tandfonline.com/doi/full/10.1080/03610926.2024.2389959
2025 A fractional Hawkes process for illiquidity modeling. With J.L. Dupret. Mathematics and Financial Economics Volume 19, pages 143–181
2024 Variational autoencoder for synthetic data. With Charlotte Jamotton. Intelligent Systems with Applications. Volume 24, December 2024, 200455
2024 Insurance analytics with clustering techniques. With C. Jamotton & T. Hames. Risks 12(9), 141.
2024 Option pricing in the Heston model with Physics inspired neural networks. With A. Casas. Annals of Finance 20, 353-376.
2024 Valuation of guaranteed minimum accumulation benefits (GMAB) with neural networks. Annals of Actuarial Sciences, 18 (2) pp. 442-473. Last version with corrections of typos in the published version.
2024 Partial hedging in rough volatility models. With E. Motte. SIAM journal of financial mathematics 15 (3), 601-652 .
2024 A mutually exciting rough jump difffusion for asset modelling. Fractional Calculus and Applied Analysis, 27, 319-352. https://doi.org/10.1007/s13540-023-00234-4
2024 Affine Heston model style with self-exciting jumps and long memory. With C. Njike Leunga, Annals of Finance, 20, 1-43. https://doi.org/10.1007/s10436-023-00436-z
2024 A recursive method for fractional Hawkes intensities and the potential approach of credit risk. With JJ. Ketelbuters. Journal of Computational and Applied Mathematics, 448, 115895.
2023 Risk management with Local Least Squares Monte-Carlo. With Akbaraly A., ASTIN Bulletin, 53 (3), pp 489-514.
2023 A subdiffusive stochastic volatility jump model. With J.L. Dupret, Quantitative Finance 23 (6).
2023 A calendar year mortality model in continuous time. ASTIN Bulletin, 53 (2) pp 351-376.
2023 Pricing of spread and exchange options in a rough jump-diffusion market. Journal of Computational and Applied Mathematics, 419, 114752.
2023 Impact of rough stochastic volatility models on long-term life insurance pricing. With J.L. Dupret and J. Barbarin. European Actuarial Journal., 13, 235-275.
2022 Multivariate claim processes with rough intensities: properties and estimation. Insurance: Mathematics & Economics, 107, pp 269-287.
2022 Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link. With M. Denuit et J. Trufin. Scandinavian Actuarial Journal, 10, 841-866.
2022 CDS pricing with fractional Hawkes processes. With JJ Ketelbuters. European Journal of Operational Research , 297 (3), pp 1139-1150.
2022 Valuation of annuity guarantees under a self-exciting switching jump model. With C. Njike Leunga. Methodology and Computing in Applied Probability. https://doi.org/10.1007/s11009-022-09931-8
2022 A Lévy interest rate model with a long memory. Risks Vol 10 (1)
2022 Time-consistent evaluation of credit risk with contagion. With J.J. Ketelbuters. Journal of Computational and Applied Mathematics, March, 403.
2021 Moment generating function of non-Markov self-excited claims processes Insurance: Mathematics & Economics, 101 (B), 406-424.
2021 Portfolio insurance under rough volatility and Volterra processes, With J.L. Dupret. International Journal of Theoretical and Applied Finance (IJTAF) , 24 (6)
2021 A fractional multi-states model for insurance. Insurance: Mathematics & Economics 98, 120-132.
2021 An actuarial approach for modeling pandemic risk. Risks 9 (1)
2021 Option pricing in illiquid markets: a fractional jump-diffusion approach. With N. Leonenko. Journal of Computational and Applied Mathematics, 381 (1)
2020 Wavelet-Based Feature-Engineering for mortality projections. With M. Denuit. Astin Bulletin 50 (3), p. 675-707.
2020 Interbank credit risk modelling with self-exciting jump processes. With C. Njike Leunga. International Journal of Theoretical and Applied Finance (IJTAF), 23 (6).
2019 Fractional Hawkes processes. Physica A, 549 (1), p 1-20
2019 A switching microstructure model for stock prices. with S. Goutte. Mathematics and Financial Economics. Vol 13 (3), p. 459-490.
2019 Self Organizing Maps for non-life insurance. European Actuarial Journal 9 (1), p 173-207.
2019 Hedging of crop harvest with derivatives on temperatures. Insurance: Mathematics & Economics 84, p 98-114
2019 A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for asset prices. With G. Deelstra. Methodology and Computing in Applied Probability. 21 (4), p. 1337-1375.
2019 A switching self-exciting jump diffusion process for stock prices. With F. Moraux. Annals of Finance, 15 (2), p 267–306
2019 A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time . With G. Deelstra. Quantitative Finance, 19 (3), p 407-426.
2018 Calendar spread exchange options pricing with Gaussian random fields. in Risks 6(3), 77
2018 A neural network analyzer for mortality forecast. ASTIN Bulletin 48 (2), p 481-508
2018 Hedging of options in the presence of jump clustering. With F. Moraux Journal of Computational Finance, December 2018.
2018 Robust evaluation of SCR for participating life insurances under Solvency II. With P. Devolder and A. Pelsser. Insurance: Mathematics & Economics 79, p 107-123. 79, issue C, 107-123
2018 "How do capital structure and economic regime affect fair prices of bank's equity and liabilities?" Annals of Operations Research, 262, p 519-545.
2017 Continuous Mixed-Laplace Jump Diffusion models for stocks and commodities. Journal of Quantitative Finance and Economics 1(2) p145-173.
2017 Contagion modeling between Financial and Insurance markets with time changed processes. Insurance: Mathematics & Economics, 74 p 63-77
2017 Clustered Levy processes and their Financial applications. Journal of Computational and Applied Mathematics 319, p 117–140.
2016 Impact of volatility clustering on equity indexed annuities. Insurance: Mathematics & Economics 71, p 367–381
2016 A bivariate Hawkes process based model, for interest rates. Economic Modelling 57, p180-196.
2016 A model for interest rates with clustering effects. Quantitative Finance 16(8), p1203-1218
2016 "A structural model for credit risk with Markov modulated Lévy processes and synchronous jumps." With D. Colwell (University of New South of Wales). European Journal of Finance 22(11), p1040-1062
2015 "Evaluation and default time for companies with uncertain cash flows." Insurance: Mathematics & Economics, Vol 61 p 276-285
2014 "Credit Risk Valuation with rating transitions and partial information" with C.Y. Robert. (ISFA) International Journal of Theoretical and Applied Finance. Vol 17 (7)
2014 “Impulse control of pension fund contributions, in a regime switching economy.” European Journal of Operational Research Vol 239, pp 810–819
2014 "Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality." with G. Deelstra. Journal of Economic Dynamics and Control Vol 44 (2014) pp 124-146
2014 "Default probabilities of a holding company, with complete and partial information." with G. Deelstra. Journal of Computational and Applied Mathematics Vol 271 pp 380-400
2014 Frequency and Severity Modelling with Multifractal Processes: an Application to US tornadoeswith J.P. Boucher (UQAM) Environmental Modeling & Assessment. June Vol 19(3) p 207-220
2014 "An intensity model for credit risk with switching Lévy processes." with O. Le Courtois (EM Lyon) Quantitative Finance Vol 14 (8) pp. 1453-1465.
2013 "A fractal version of the Hull-White interest rate model." Economic Modelling, 31, p 323-334
2012 “Multidimensional Lee-Carter model with switching mortality processes.” Insurance: Mathematics and Economics. 50(2), p 236-246.
2012 “Seasonality modelling for tornadoes catastrophe bond pricing” Bulletin Français d'actuariat.
2012 “Strategic asset allocation under switching dependence” with R. Macgilchrist. Annals of Finance 8(1), p 75-96 .
2012 “Entry and exit decisions with switching regime cash flows”. International Journal of Managerial Finance. Vol. 8 (1), pp.58 - 72.
2011 “Risk management of CPPI funds in switching regime markets”. Bankers, Markets and Investors. n113 july-august 2011, pp 39-48
2011 “Optimal funding of a defined benefit pension plan” with G. Deelstra. Journal of Pension Economics and Finance, Vol 10 (1), pp. 31-52
2010 “An interest rate tree driven by a Lévy process” with R. Macgilchrist. Journal of derivatives. Winter 2010, Vol. 18, No. 2: pp. 33-45.
2010 “Optimal design of profit sharing rates by FFT”. Insurance: Mathematics and Economics. Vol 46 ( 3), Pages 470-478.
2009 “Dynamic asset allocation under VAR constraint, with stochastic interest rates”. Annals of Operation Research, Vol 172 (1).
2009 “Profit sharing: a stochastic control approach". Bulletin Français d’actuariat. December.
2008 “Mortality modelling with Lévy processes” with P. Devolder. Insurance: Mathematics and Economics. Vol 42 (1).
2007 “Management of a pension fund under financial and mortality risk.” with P. Devolder. Insurance: Mathematics and Economics. Vol 41 (1).
2007 “A martingale approach applied to the management of life insurances.” with Pierre Devolder. ICFAI journal of risk and insurance. Vol 4.
2006 "Life annuitization: why and how much?" with P. Devolder. ASTIN bulletin. Vol 36(2). awarded by the AFIR (Actuarial Approach for Financial Risks) prize 2008.
2006 “The annuity puzzle revisited: a deterministic version with Lagrangian methods.” with Pierre Devolder. The Belgian Actuarial Bulletin. Vol 6.

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