Adriana Ocejo Monge

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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]
  • (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 (2019). With Anne MacKay. [Preprint]

Working projects

  • Decumulation strategies in retirement products.

Education