ABOUT ME
I am currently an Associate Professor in the Department of Mathematics and Statistics at the University of Montreal. I have a Ph.D. in Mathematics (2003) from Concordia University and I have been a faculty member at the University of Montreal since 2005.
My main research interests are in the fields of Ruin Theory and Mathematical Finance. I teach courses in the actuarial and financial mathematics programs at the undergraduate and graduate level. I am also responsible for supervising Master's and Ph.D. students working in Insurance Mathematics and Financial Mathematics.
I have a number of ongoing projects both in research as well as in education and training. I also have engaged in partnership with a number of industry partners in order to explore different applied research questions.
I also maintain an academic blog where you can read up-to-date information on my activities.
RESEARCH INTERESTS
Lévy Processes and Their Applications
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Lévy Insurance Risk Models
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Non-Gaussian Option Princing Models
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Markov-additive Risk Models
High-Frequency Finance
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Limit-Order-Book Modeling and Simulation
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Calibration of "Zero-Intelligence" Market Simulators
Collective Risk Theory
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Non-Ruin Quantities
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Gerber-Shiu Functions
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Drawdowns and other Path-Dependent Measures
Applied Statistical Finance
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Regime-Switching Model Estimation
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Clustering and Learning Algorithms
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Algorithmic Trading
EDUCATION
2000 - 2004
Concordia University, Montreal
Ph.D. Mathematics
1998 - 2000
Concordia University, Montreal
M.Sc. Statistics
1992 - 1996
National Autonomous University of Mexico
B.Sc. Mathematics
AFFILIATIONS
