Michel Mandjes

University of Amsterdam

Michel Mandjes (1970) studied Econometrics and Mathematics at Vrije Universiteit (VU) Amsterdam. After he obtained his PhD in Applied Probability at VU and worked outside of academia for some years (Bell Labs, Murray Hill NJ). In 2000, Michel returned as full professor of Stochastic Operations Research at Twente University and as group leader at the Centre Mathematics & Computer Science (CWI). In 2004, he joined the mathematics department of the University of Amsterdam. He has taken sabbaticals at Stanford University (2008) and New York University (2013-2014). Since October 2023 Michel main appointment is at the Mathematical Institute as full professor of Probability and Operations Research.

Articles by Michel Mandjes

Original research

Credit risk meets insurance risk: a unified framework

Extending the influential CreditRisk+ model for portfolio credit risk modeling, the authors propose adding a continuous-time extension to the model.

07 Jan 2026

オリジナル・リサーチ

Transform-based evaluation of prices and Greeks of lookback options driven by Lévy processes

The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.

23 May 2016

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