Rodrigo S. Targino

I am an Assistant Professor (Lecturer) in Statistics at the School of Applied Mathematics (EMAp), at the Getulio Vargas Foundation (FGV).

From 2012 to 2016, I was a PhD candidate at the Department of Statistical Science, at the University College London (UCL). In 2014 I was also a recepient of the Australia Award Endeavour Research Fellowship.

After a completing a BSc in Applied Mathematics and a MSc in Statistics (both from Federal University of Rio de Janeiro, Brazil) I spent 2.5 years working at the financial industry in Brazil, first as a Credit Risk Modelling Analyst at Itaú-Unibanco Bank and then as a Market Risk Analyst at Credit-Suisse Hedging-Griffo. During the Masters I also collaborated on a IMPA / Petrobras research project, mainly focused on Real Options problems.

Research Interests

My main research interest is Financial and Actuarial Mathematics, specifically on Monte Carlo methods for Risk Management (for more details see my list of academic publications).


02/Dec/2019 - New preprint online (with L.E. Nieto-Barajas): Modelling dependence within and across run-off triangles for claims reserving.

29/Sep/2019 - I'll be visiting Prof. Emmanuel Gobet at École Polytechnique from 14/Oct/2019 to 25/Oct/2019. Then I head to UCL to visit Dr. Sam Livingstone from the 28/Oct/2019 to 07/Nov/2019.

25/Aug/2019 - Our paper on the estimation of continuous-time stochastic volatility models has just been accepted on the journal Statistics and Probability Letters! The preprint is available here.

13/Mar/2019 - Prof. Teemu Pennanen (King's College) will be visiting the EMAp/FGV and will teach the course Optimization and incomplete markets with applications from 01/Apr/2019 to 17/Apr/2019

13/Mar/2019 - From the 19/Mar/2019 to 04/Jun/2019 the School of Applied Mathematics (EMAp/FGV) Prof. Wenceslao González Manteiga (USC - Spain) will be teaching a course on Goodness of fit for regression models.

Older news

Upcoming Events

06/Oct/2019 - 08/Oct/2019 - Fourth International Workshop in Financial Econometrics, Maceió, AL, Brazil

Previous conferences


rodrigo.targino 'AT' fgv 'dot' br

Room 527, School of Applied Mathematics (EMAp), Getulio Vargas Foundation (FGV), Praia de Botafogo 190, Rio de Janeiro, RJ, Brazil