Baltas Yiannis

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First name: 
Last name: 
Academic rank: 
Assistant Professor
Member of Faculty
Area of expertise: 
Financial Engineering
Short Curriculum vitae: 

Dr. Ioannis (Yiannis) Baltas holds an Assistant Professor position in the department of Financial and Management Engineering at the University of the Aegean. He is a graduate of the department of Statistics, Actuarial and Financial Mathematics of the university of the Aegean and also holds a MSc in Financial and Actuarial Mathematics (with Honors) from the same department. In June 2014, he was awarded his doctorate from the department of Statistics of the Athens University of Economics and Business (AUEB), for his dissertation with title "Stochastic Optimal Control and Stochastic Differential Games: Applications in Insurance", under the supervision of Professor A.N. Yannacopoulos. For two consecutive years he served the Department of Statistics of AUEB from the position of postdoctoral fellow (full funding from the research program Action 2), studying the field of Stochastic Differential Games and decision making under uncertainty. His research focuses mainly on the applications of Stochastic Analysis in Finance (portfolio optimization, inside information theory, financial risk measurement, decision making under uncertainty) as well as stochastic differential games. During his academic career, he has presented his research in numerous conferences/seminars summer schools, both in Greece and abroad, and has also actively participated in the organization of various thematic areas in respective conferences. Ioannis serves the international scientific community as a reviewer for a plethora of  prestigious scientific journals  (Mathematical Reviews (AMS), Journal of Optimization Theory and Applications (JOTA), European Journal of Control,  Insurance: Mathematics and Economics, Journal of Industrial and Management Optimization (JIMO), etc), as well as Editor for the journals of Numerical Algebra, Control and Optimization (NACO), and Journal of Industrial and Management Optimization (JIMO).

45, Kountouriotou str.
+30 2271035469
Office hours: 
Wednesday: 12:00-12:30
Friday: 12:00-13:30
jmpaltas [at] aegean [dot] gr
Published (Journals = J; Books = B)

  • (B) I. Baltas, M. Szczepanski, L. Dopierala, K. Kolodziejczyk, G.-W. Weber and A. N. Yannacopoulos (2020). Optimal Pension Fund Management Under Risk and Uncertainty: The Case Study of Poland. To appear in Modeling, Dynamics, Optimization and Bioeconomics IV (eds. A. Pinto and D. Zilberman) Springer.
  • (J) I. Baltas, A. Xepapadeas and A.N. Yannacopoulos (2019). Robust control of parabolic stochastic partial differential equations under model uncertaintyEuropean Journal of Control, DOI: 10.1016/j.ejcon.2018.04.004
  • (J) I. Baltas, A. Xepapadeas and A.N. Yannacopoulos (2018). Robust portfolio decisions for financial institutionsJournal of Dynamics and Games, 5, 61-94. DOI: 10.3934/jdg.2018006
  • (J) I. Baltas and A.N. Yannacopoulos (2017). Portfolio management in a stochastic factor model under the existence of private informationIMA J. Management Mathematics, DOI: 10.1093/imaman/dpx012
  • (J) I. Baltas and A.N. Yannacopoulos (2017). Portfolio management in a stochastic factor model under the existence of private information (Supplementary Material). IMA J. Management Mathematics, DOI: 10.1093/imaman/dpx012
  • (J) I. Baltas and A.N. Yannacopoulos (2016). Uncertainty and inside informationJournal of Dynamics and Games, 3, 1-24. DOI: 10.3934/jdg.2016001
  • (J) I. Baltas, N.E. Frangos and A.N. Yannacopoulos (2012). Optimal investment and reinsurance policies in insurance markets under the effect of inside informationApplied Stochastic Models in Business and Industry, 28, 506-528. DOI: 10.1002/asmb.925
Submitted/Under Review
  • (J) I. Baltas, L. Dopierala, K. Kolodziejczyk, M. Szczepanski, G.-W. Weber and A.N. Yannacopoulos (2020). Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty.  Paper submitted to EJOR; first round of revisions
In progress
  • I. Baltas and A.N. Yannacopoulos.  On the numerical approximation of the HJBI equations arising in combined optimal stopping and control problems.
  • I. Baltas. A stochastic volatility approach to VaR estimation.
  • I. Baltas. Stock market integration and international portfolio diversification.


Research interests: 
Other interests: 
  • Financial Mathematics : Inside information theory, Portfolio optimization, financial risk management and pricing of financial derivative products with stochastic methods.
  • Mathematical Economics: Game theory and decision making in Finance.
  • Actuarial Mathematics
  • Stochastic Analysis and Stochastic Modeling with applications in Financial Mathematics, Actuarial Mathematics and Financial Risk Mananegement.
  • Pension fund management.