Luitgard A. M. Veraart

Research Interests

• risk management in financial markets
• financial networks
• systemic risk
• statistics in finance
• optimal investment problems
• modelling of energy markets
• stochastic volatility models

Publications

• L.A.M. Veraart, I. Aldasoro
  Systemic risk in markets with multiple central counterparties
  Mathematical Finance (Early View). 2024.
  Preprint, Publication (open access)
  BIS Working Paper No 1052

• A.-C. Hüser, C. Lepore, L.A.M. Veraart,
  How does the repo market behave under stress? Evidence from the COVID-19 crisis
  Journal of Financial Stability 70:101193. 2024.
  Publication
  Bank of England Staff Working Paper No. 910 , 2021.
  IMF Working Papers 2021 (267)

• R. K.-K. Pang, L.A.M. Veraart,
  Assessing and mitigating fire sales risk under partial information
  Journal of Banking and Finance 155:106989, 2023.
  Preprint, Publication (open access)

• L.A.M. Veraart, I. Aldasoro
  CCPs United: the hidden dangers of shared clearing membership
  SUERF Policy Brief No 549, 2023.
  Publication (open access)
  

• L.A.M. Veraart,
  When does portfolio compression reduce systemic risk?
  Mathematical Finance 32 (3): 727-778. 2022.
  Preprint, Publication (open access)

• A. Gandy & L.A.M. Veraart,
  Compound Poisson models for weighted networks with applications in finance,
  Mathematics and Financial Economics 15: 131 - 153. 2021.
  Preprint, Publication

• L.A.M. Veraart,
  Distress and default contagion in financial networks,
  Mathematical Finance 30(3): 705-737. 2020.
  Preprint, Publication

• A. Gandy & L.A.M. Veraart,
  Adjustable network reconstruction with applications to CDS exposures,
  Journal of Multivariate Analysis 172: 193-209. 2019.
  Preprint, Publication

  Implemented in the R-package systemicrisk, see http://cran.r-project.org/web/packages/systemicrisk

• M. Kusnetsov & L.A.M. Veraart,
  Interbank clearing in financial networks with multiple maturities,
  SIAM Journal on Financial Mathematics 10(1): 37–67. 2019.
  Preprint, Publication

• D. Brigo & L.A.M. Veraart,
  Simple models won’t cut it for systemic risk,
  Comment published in Risk Magazine, May 2018.
  Publication

• A. Gandy & L.A.M. Veraart,
  A Bayesian methodology for systemic risk assessment in financial networks,
  Management Science 63(12): 4428-4446, 2017.
  Preprint, Publication

  Implemented in the R-package systemicrisk, see http://cran.r-project.org/web/packages/systemicrisk

• P.M. Barrieu & L.A.M. Veraart,
  Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models,
  Scandinavian Actuarial Journal 2016(2): 146-166, 2016.
  Preprint, Publication

• L.A.M. Veraart,
  Book review of the book: Stochastic finance: an introduction with market examples by N. Privault,
  appeared in (2015) Book Reviews, Journal of the American Statistical Association, 2015.

• M.S. Dubois & L.A.M. Veraart,
  Optimal diversification in the presence of parameter uncertainty for a risk averse investor,
  SIAM Journal on Financial Mathematics 6(1): 201-241, 2015.
  Preprint, Publication

• A.E.D. Veraart & L.A.M. Veraart,
  Modelling electricity day-ahead prices by multivariate Lévy semistationary processes,
  In: F. E. Benth, V. Kholodnyi, P. Laurence (Eds.), Quantitative Energy Finance, Springer, 2014.
  Preprint

• A.E.D. Veraart & L.A.M. Veraart,
  Risk premiums in energy markets,
  Journal of Energy Markets 6(4): 91-132, 2013.
  Preprint

• L.C.G. Rogers & L.A.M. Veraart,
  Failure and rescue in an interbank network,
  Management Science 59(4): 882-898, 2013.
  Preprint, Publication

• A. Gandy & L.A.M. Veraart,
  The effect of estimation in high-dimensional portfolios,
  Mathematical Finance 23(3): 531-559, 2013.
  Preprint, Publication

• N. Bäuerle & S.P. Urban & L.A.M. Veraart,
  The relaxed investor with partial information,
  SIAM Journal on Financial Mathematics 3(1): 304-327, 2012.
  Preprint, Publication

• A.E.D. Veraart & L.A.M. Veraart,
  Stochastic volatility and stochastic leverage,
  Annals of Finance 8(2): 205-233, 2012.
  Publication

• N. Bäuerle & L.A.M. Veraart,
  Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung.
  In: Wendland, K., Werner, A. (Eds.) Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung für alle, die mehr von Mathematik verstehen wollen. Vieweg-Teubner, ISBN: 978-3-8348-1414-2, 2011.
  Publisher

• L.A.M. Veraart,
  Optimal investment in the foreign exchange market with proportional transaction costs,
  Quantitative Finance 11(4): 631-640, 2011.
  Publication

• L.A.M. Veraart,
  Optimal market making in the foreign exchange market,
  Applied Mathematical Finance 17(4): 359-372, 2010.
  Publication

• L.C.G. Rogers & L.A.M. Veraart,
  A stochastic volatility alternative to SABR,
  Journal of Applied Probability 45(4):1071-1085, 2008.
  Publication

• R. Kiesel & L.A.M. Veraart,
  A note on survival probability in CreditGrades,
  Journal of Credit Risk 4(2): 65-74, 2008.
  Publication

Selected Preprints

• L.A.M. Veraart, Y. Zhang
  A macroprudential view on portfolio rebalancing and compression
  Available at SSRN, 2021.
  Preprint

Editorial and Other Service

• I serve as the Program Director of the SIAM Activity Group on Financial Mathematics and Engineering for the period 01/2024 - 12/2025.

• Financial Mathematics Mentoring Initiative.

• Associate editor of Applied Mathematical Finance.

• Associate editor of Mathematical Finance.

• Associate editor of Operations Research.

• Associate editor of SIAM Journal on Financial Mathematics.

Recent Awards

• 2019 co-winner of the Adams Prize awarded by the University of Cambridge, for achievements in the field of the Mathematics of Networks.

• 2019 and 2020 award of an Excellence in Education Award by LSE.

• 2016 award of a George Fellowship by the Houblon-Norman Fund, Bank of England, for my research on systemic risk in financial networks.

Teaching 2024/2025

• MA417 Computational Methods in Finance. Course information.

• LSE Summer School: ME200 Computational Methods in Financial Mathematics. Course information .

Short CV

• Since 2021 Professor, Department of Mathematics, LSE
• 2013-2021 Associate Professor, Department of Mathematics, LSE
• 2010-2013 Lecturer in Mathematics, LSE
• 2008-2010 Assistant Professor in Financial Mathematics ('Juniorprofessor'), Karlsruhe Institute of Technology
• 2007-2008 Postdoctoral Research Associate, Bendheim Center for Finance, Princeton University
• 2007 Ph.D., University of Cambridge
• 2004 Diploma in Mathematics (Dipl. - Math.), University of Ulm
• 2004 Diploma in Mathematics and Economics (Dipl. - Math. oec.), University of Ulm
• 2003 Master of Philosophy in Statistical Science, University of Cambridge

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