Faculty Connections
Faculty Connections

About this site

Faculty Connections is an aggregation of UNC Charlotte faculty profiles.

Full-time faculty who want to update their profile information, see:
Connection Update

UNC Charlotte faculty and staff can log in with their NinerNET user accounts.
Log In

Colleges & Departments

  • ►Belk College of Business
    • ►Business Info Systems/Operations
    • ►Economics
    • ►Finance
    • ►Management
    • ►Marketing
    • ►Turner School of Accountancy
  • ►College of Arts + Architecture
    • ►Art & Art History
    • ►Dance
    • ►Music
    • ►Performing Arts Services
    • ►School of Architecture
    • ►Theatre
  • ►College of Computing & Informatics
    • ►Bioinformatics and Genomics
    • ►Bioinformatics Research Center
    • ►Computer Science
    • ►Software & Information Systems
  • ►College of Education
    • ►Counseling
    • ►Ctr For STEM Education
    • ►Educational Leadership
    • ►Middle Grades Secondary & K-12
    • ►Reading & Elementary ED
    • ►School & Community Partnerships
    • ►Special Ed & Child Dev
  • ►College of Health & Human Services
    • ►Kinesiology
    • ►Public Health Sciences
    • ►School of Nursing
    • ►School of Social Work
  • ▼College of Liberal Arts & Sciences
    • ►Africana Studies
    • ►Anthropology
    • ►Biological Sciences
    • ►Chemistry
    • ►Communication Studies
    • ►Criminal Justice and Criminology
    • ►English
    • ►Geography and Earth Sciences
    • ►Global Studies
    • ►History
    • ►Languages and Culture Studies
    • ▼Mathematics and Statistics
      • Adalira Saenz-Ludlow
      • Adriana Ocejo Monge
      • Alan Dow
      • Allison Hahn
      • Allison McCulloch
      • Anna Athanasopoulou
      • Anthony Fernandes
      • Arindam Roy
      • Aziz Issaka
      • Boris Vainberg
      • Charles Burnap
      • Desire' Taylor
      • Duan Chen
      • Eliana Christou
      • Elizabeth Etters
      • Evan Houston
      • Evan Wantland
      • Gabor Hetyei
      • Hae Oh
      • Isaac Sonin
      • Jaya Bishwal
      • Jeanne-Marie Linker
      • Jiancheng Jiang
      • Joel Avrin
      • John Taylor
      • Jun Song
      • Kevin McGoff
      • Kim Harris
      • Loc Nguyen
      • Michael Grabchak
      • Michelle Stephan
      • MIkhail Klibanov
      • Mohammad Kazemi
      • Oleg Safronov
      • Qingning Zhou
      • Sarah Birdsong
      • Shana Peedin
      • Shaoyu Li
      • Shaozhong Deng
      • Stanislav Molchanov
      • Victor Cifarelli
      • Wafaa Shaban
      • Wan Rabiatul Hountondji Wan Othman
      • Weihu Zhou
      • William Brian
      • Xingde Dai
      • Xingjie Li
      • Yanqing Sun
      • Yinghao Pan
      • Yuanan Diao
      • Yuri Godin
      • Zhiyi Zhang
    • ►Philosophy
    • ►Physics and Optical Science
    • ►Political Science and Public Administration
    • ►Psychological Science
    • ►Religious Studies
    • ►Sociology
    • ►Writing, Rhetoric, and Digital Studies
    • Kailas Venkitasubramanian
  • ►Lee College of Engineering
    • ►Civil and Environmental Engr
    • ►Electrical & Computer Engineering
    • ►Engineering Tech & Constr Mgmt
    • ►EPIC
    • ►Mech Engineering & Engineering Sci
    • ►Student Dev & Success
    • ►Systems Engin & Engin Management
  • ►School of Data Science (SDS)

Programs, Centers & Initiatives

  • ►Center for Applied Geographic Information Science
  • ►Metropolitan Studies
    • ►Urban Institute

Top Research Links

  • performing arts
  • art
  • visual arts
  • Architecture
  • culture
  • music
  • gender
  • theatre
  • diversity
  • race
  • arts and community
  • education
  • design
  • environment
  • dance
  • arts education
  • art history
  • rhetoric
  • composition
  • ecology
  • sexuality
  • statistics
  • urban design
  • sustainability
  • health disparities
  • computer science
  • politics
  • robotics
  • evolution
  • mathematical physics
  • collaboration
  • health
  • vulnerable populations
  • production
  • music education
  • biostatistics
  • mental health
  • popular culture
  • social media
  • ethics
  • orchestra
  • jazz
  • bioinformatics
  • stage production
  • machine learning

Full-Text Search

Adriana Ocejo Monge

Mathematics and Statistics
Summary | Full Profile

Office: Fretwell 335G
Phone: (704) 687 1413
Email: amonge2@uncc.edu

Academic Interests
actuarial science
controlled diffusion processes
derivatives pricing
indifference pricing
interest rate modeling
mathematical finance
optimal stopping
portfolio allocation
probability
reinsurance
stochastic calculus
stochastic optimal control
stochastic processes
stochastic volatility
variable annuities
Related People
Jaya Bishwal
Isaac Sonin
Steven Clark
Russell Keanini
Wafaa Shaban
Stanislav Molchanov
Aziz Issaka

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

  • 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).
  • Alerts
  • Jobs
  • Make a Gift
  • Maps / Directions
  • Accessibility IconAccessibility
Follow UNC Charlotte
Facebook Blogger Twitter Flickr YouTube
The University of North Carolina at Charlotte 9201 University City Blvd., Charlotte, NC 28223-0001 · 704-687-UNCC (8622) © 2014 UNC Charlotte | All Rights Reserved | Terms of Use | Policy Statements | Contact Us
Skip to toolbar
  • Log In