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Luis Alvarez EstebanView profile

Professor

• Mathematical Finance
• Stochastic Control Theory
• Optimal Stopping
• +4 more

Luis Alvarez Esteban is a Professor of Quantitative Methods in Management at the Turku School of Economics (University of Turku), specializing in mathematical finance and mathematical economics since 2001. He holds two PhDs: a PhD in Economics (1994) and a PhD in Applied Mathematics (1997), both from the University of Turku. Education: Began studies in Economics and Applied Mathematics at University of Turku (1987–1988) Completed first PhD in Economics at the Department of Economics (1994) Obtained second PhD in Applied Mathematics at the Department of Mathematics (1997) Research Interests: Focuses on stochastic control theory, optimal stopping, diffusion processes, and real options, with applications to mathematical finance and economics. His work integrates theoretical stochastic analysis with practical financial modeling, particularly in optimal decision-making under uncertainty. Recent research explores stopping games, Poissonian stopping problems, and sustainable resource harvesting models. Articles Trends: Publications span stochastic control applications in finance, environmental economics, and operations research. Recent work emphasizes multidimensional problems, regime switches, and Knightian uncertainty. Earlier contributions include optimal capital accumulation models and harvesting strategies under stochastic environments. Professional Links: LinkedIn: Profile Google Scholar: Publications ORCID: ID

João GuerraView profile

Associate Professor

• Stochastic Analysis
• Lévy Processes
• Fractional Stochastic Processes
• +3 more

João Guerra is an Associate Professor at ISEG (University of Lisbon) in the Department of Mathematics, specializing in Financial Analysis and Mathematics. He holds a PhD in Mathematics from the University of Barcelona (2009), as well as degrees in Technological Physics Engineering (IST, 1995) and Applied Mathematics (University of Évora, 1999). His research focuses on stochastic analysis, Lévy processes, and fractional stochastic processes applied to mathematical finance. Education: PhD in Mathematics, University of Barcelona (2009) DEA in Mathematics, Universitat de Barcelona (2003) Master's in Applied Mathematics, University of Évora (2003) Bachelor's in Technological Physics Engineering, Instituto Superior Técnico (1995) Research Interests: Stochastic calculus, Lévy processes, fractional stochastic systems, and their applications in financial modeling. He has published widely in journals like Quantitative Finance , Journal of Computational Finance , and Stochastic Processes and Their Applications . Teaching and Academic Roles: Coordinator of the Master's in Financial Mathematics and PhD in Applied Mathematics for Economics and Management (MAEG) Developed courses on stochastic calculus, differential equations, and financial models Supervised 2 PhD and 19 Master's theses Professional Experience: Assistant Professor at ISEG (2009–2023) Researcher in six international projects, including a current bilateral Portugal-Germany project

• Financial Engineering
• Risk Management
• Quantitative Finance
• +9 more

Professor Mi-Hsiu Chiang is a faculty member at the Department of Money and Banking, National Chengchi University (NCCU), College of Commerce , with a career spanning over two decades in quantitative finance, credit risk modeling, and financial engineering. He holds a PhD in Quantitative Finance from Imperial College London and has published extensively in top-tier journals like Pacific-Basin Finance Journal , Financial Management , and Review of Quantitative Finance and Accounting . Education: PhD (Quantitative Finance), MSc (Mathematics), BSc (Mathematics) from Imperial College London. Research Focus: Credit risk modeling, options pricing, machine learning applications in finance, ESG investments, and climate risk hedging. Awards: Recipient of MOST Research Awards, Senior Outstanding Teacher (20 years) at NCCU, and several academic prizes including UMC Management Paper Award and Fubon Paper Award. Projects: Led numerous research initiatives funded by the National Science and Technology Council, including studies on climate change risk replication using GPT and machine learning, ESG sentiment in credit default prediction, and behavioral biases in derivatives markets. His recent publications emphasize stochastic dominance in stock markets, liquidity-driven strategies, and empirical analyses of credit and information risks. He has also contributed to behavioral finance by examining the disposition effect in options and convertible bonds. His work bridges quantitative methods with practical financial applications, including synthetic CDO valuation and TIPS pricing under inflation jumps. Scientific Awards 科技部研究獎勵 資深優良教師 (20年), 國立政治大學 第十屆聯電經營管理論文獎優等獎, 中華民國管理科學學會 台灣財務金融學會富邦論文獎 台大管理論叢宋作楠基金會論文獎 資深優良教師 (10年), 國立政治大學 學術研究成果國際化優等研究獎, 政治大學 教學特優教師, 政治大學商學院

Massimo CostabileView profile

Professor

• Computational Finance
• Actuarial Science
• Financial Mathematics
• +2 more

Massimo Costabile is a Full Professor of Mathematical Methods for Economics, Actuarial and Financial Sciences at the Department of Economics, Statistics and Finance 'Giovanni Anania' (DESF) of Università della Calabria, where he also serves as Department Director. He teaches Quantitative Models in Finance in the Master's degree course in Finance and Insurance and Financial Mathematics in the Mathematics degree program. Laurea in Economic and Social Sciences, Università della Calabria (1993) PhD in Actuarial Science, Sapienza Università di Roma (1996) Research Interests: His work focuses on computational finance, life insurance policy valuation, and analytical methods for complex financial instruments. Key areas include: Numerical methods for derivative securities and insurance products Stochastic volatility modeling in financial and actuarial contexts Regime-switching and jump-diffusion option pricing frameworks Guaranteed minimum withdrawal benefits (GMWB) in variable annuities Risk capital requirements under CVaR constraints Discrete-time lattice approaches for financial modeling Recent Research Trends: Recent publications examine stochastic correlation in life insurance pricing, mixed fractional Brownian motion applications, and semiparametric models for non-life insurance capital allocation. His work combines binomial lattice techniques with advanced volatility models to address insurance risk and financial derivative valuation challenges. Administration & Collaborations: As Department Director, he oversees academic operations while collaborating with national and international researchers. He serves on editorial boards and peer-review panels for journals like Decisions in Economics and Finance and Insurance: Mathematics and Economics. Laboratories: Co-manages the Multimedia Teaching Lab (Laboratorio di Didattica Multimediale) and Informatica 3 Lab at DESF, focusing on didactic applications of computational methods in economics and finance education.

Shangzhen LuoView profile

Professor

• Stochastic analysis
• Financial mathematics
• Filtering theory
• +3 more

Shangzhen Luo is a Professor in the Department of Mathematics at the University of Northern Iowa, affiliated with the College of Humanities, Arts and Sciences. Their research focuses on stochastic analysis, financial mathematics, and filtering theory, with applications in insurance, reinsurance, and risk management. Research Interests include stochastic control, differential games, and probabilistic modeling in financial and insurance contexts. Key themes in their work involve optimizing reinsurance strategies, analyzing time-inconsistent preferences in retirement planning, and studying risk processes under stochastic volatility. Publication Trends reveal a strong emphasis on stochastic differential equations , reinsurance optimization , and Markov-driven dynamics . Their work bridges theoretical stochastic analysis with practical applications in insurance, investment, and decision-making under uncertainty. Key Contributions span topics like barrier strategies for insurance surplus, Pareto-optimal reinsurance policies, and robust control under ambiguity. They have developed models for jump-diffusion risk processes, Brownian risk minimization, and multi-dimensional filtering systems.

• Time Series Econometrics
• Statistics
• Finance
• +7 more

Associate Professor Simon Kwok is an academic in the School of Economics at The University of Sydney. He holds a PhD in Economics from Cornell University (2012), along with a BSc (Hons) and MPhil from HKU. His research focuses on time series econometrics, statistics, and finance, with particular expertise in specification tests of time series and point process models, tests of Granger causality, and their empirical applications. His research interests span multiple areas of financial economics: Asset and Derivative Pricing High Frequency Finance Program Evaluation Market Microstructure Credit Contagion Financial Contagion Professor Kwok's recent publications demonstrate a strong focus on cryptocurrency markets, financial bubbles, and high-frequency data analysis. His work often involves collaborations with researchers like Robert Jarrow and Michael Leong. His research has practical implications for risk management, portfolio construction, and understanding market dynamics, as evidenced by his 2023 study finding that high-risk cryptocurrencies generally underperform their low-risk counterparts. His notable scientific contributions include: Developing tests for autocorrelated jump occurrences in financial markets Studying asset price bubble dynamics and explosion time characterization Investigating Bitcoin spillovers and cryptocurrency risk exposures Creating the PCDID Approach for Difference-in-Differences analysis Professor Kwok supervises graduate students in econometrics, statistics, and finance. He is currently advising John BILSEL on "Long term Stock-Bond Correlation Dynamics." His work has received funding for research in financial econometrics and time series analysis, with applications to market microstructure and financial contagion. He is also a member of The University of Sydney Nano Institute, indicating interdisciplinary research interests that extend beyond traditional economics into complex systems analysis.