Dr. rer. nat. Jonathan Ansari
Leading the research project ‚SORT: Stochastic orders for functional dependence‚.
Contact: jonathan.ansari(at)plus.ac.at
Research Interests
- Dependence Modeling
- Optimal Transport
- Multivariate and Nonparametric Statistics
- Stochastic Orderings
- Risk Analysis
- Financial Mathematics
- Data Analytics and Machine Learning
News
- New publication: In joint work with Marcus Rockel from University of Freiburg, our paper on The exact region and an inequality between Chatterjee’s and Spearman’s rank correlations has been published in the Journal of Multivariate Analysis.
- New publication: In joint work with Eva Lütkebohmert from University of Freiburg, our paper on Robust Bernoulli Mixture Models for Credit Portfolio Risk has been published in Mathematical Finance.bst Bernoulli Mixture Models for Credit Portfolio Risk
- New publication: In joint work with Moritz Ritter from University of Freiburg, we published our work on Comparison results for positive supermodular dependent Markov tree distributions in the Electronic Journal of Statistics.
- My FWF research proposal on ‘Stochastic orders for functional dependence (SORT)’ with a funding amount of over 450,000€ and a duration of 3 years was approved (Grant-DOI 10.55776/PAT1669224)
- New preprint: The paper ‚The exact region and an inequality between Chatterjee’s and Spearman’s rank correlations‚ in joint work with Marcus Rockel is now available on arXiv.
- New preprint: In joint work with Sebastian Fuchs, our paper ‚On continuity of Chatterjee’s rank correlation and related dependence measures is available‚ on arXiv.
- Paper accepted: In joint work with Patrick Langthaler, Sebastian Fuchs and Wolfgang Trutschnig, our paper Quantifying and estimating dependence via sensitivity of conditional distributions is accepted for publication in the journal Bernoulli.
- In joint work with M. Rockel our paper on Dependence properties of bivariate copula families is now available in Dependence Modeling.
- Paper published: In joint work with E. Lütkebohmert, A. Neufeld and S. Sester, our paper Improved robust price bounds for multi-asset derivatives under market-implied dependence information has appeared in the journal Finance and Stochastics.
- In Feb. 2024, I won an Early Career Research grant from the Paris Lodron University Salzburg. My research project on improved risk bounds for sums of random variables under dependence information is being funded with over €50,000.