Research areas of interest
- Mathematical finance: derivatives pricing, stochastic volatility, interest rate modeling, portfolio allocation, variable annuities, indifference pricing, reinsurance.
- Stochastic optimal control: optimal stopping, controlled diffusion processes, hybrid switching diffusions, martingale methods.
Publications
- (2014)- Monotonicity of the value function of a two-dimensional optimal stopping problem. With S. Assing and S. Jacka. In Annals of Applied Probability. [Link] [Preprint]
- (2014)- Time-change and control of stochastic volatility. PhD Thesis. [PDF]
- (2018)- On the regularity of American options with regime-switching uncertainty. With S. Jacka. In Stochastic Processes and their Applications. [Link] [Preprint]
- (2018) Asian option as a fixed-point. In Journal of Fixed Point Theory and Applications. [Link] [Preprint]
- (2018) Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms. In Nonlinear Analysis: Hybrid Systems. [Link] [Preprint]
- (2019) Assessing Guaranteed Minimum Income Benefits and rationality of exercising reset options in variable annuities. With R. Jones. In International Journal of Statistics and Probability. [Link]
- (2020) Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion. In Results in Applied Mathematics. [Link].
Submitted
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees. With Anne MacKay. [Preprint]
Education
- PhD in Statistics (2014), University of Warwick, UK. Time-change and control of stochastic volatility.
- MSc in Mathematics (2009), Universidad de Sonora, Mexico. American option pricing as a free-boundary problem.
- BSc in Mathematics (2007), Universidad de Sonora, Mexico.The Henstock-Kurzweil integral and the Fundamental Theorem of Calculus (in Spanish).