Research

Research News

Simulator Models for the Limit Order Book Dynamics and their Applications

Modeling and Simulation of High Frequency Features of Market Prices

On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t

Trend Detection Using a Statistical Learning Algorithm: An Exercice in Algorithmic Trading

Identifying Structural Regime Changes with Self-Organizing Maps in Financial Markets

Introducing Non-ruin Quantities in Collective Risk Theory

Lévy Insurance Risk Processes

Applications of Markov-additive Processes in Finance and Insurance

Over the years, my research program has diversified and it now encompasses a wide range of theoretical and applied questions in the fields of Insurance Ruin Theory and Mathematical Finance. Non-Gaussian Option Pricing Models, Lévy Insurance Risk Models, Financial Econometric Regime-switching Models and Axiomatic Risk Measures are some of my research interests nowadays.

Although I continue to work on classical problems, I now also have research projects in partnership with key industrial quantitative research teams in the finance sector. These projects are carried out under industry-funded research contracts that allow my team of students to explore applied-directions in new exciting fields bringing added value to our partner's operations.

I actively search for new partnerhip opportunities: Inquiries are welcome.