Adriana Ocejo Monge

Research areas of interest

• Stochastic processes: stochastic calculus, Markov processes, hybrid switching diffusions, martingale methods.
• Mathematical finance and actuarial science: derivatives pricing, stochastic volatility and interest rate modeling, portfolio allocation, indifference pricing, variable annuities, reinsurance.
• Stochastic optimal control: optimal stopping, controlled diffusion processes.

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]
• (2017)- 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]

Submitted

• Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees (2019). With Anne MacKay. [Preprint]
• Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion (2019).

Working papers

• Decumulation strategies in retirement products.

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).