ENSIIE and a permanent member of the Laboratoire de Mathématiques et Modélisation d'Évry (LaMME), a combined research unit of the CNRS (UMR 8071), theUniversité d'Évry-Val-d'Essonne and the ENSIIE.
Previous to joining the ENSIIE, I was a Postdoctoral Researcher at the Swissquote Chair in Quantitative Finance at EPFL and a Postdoctoral Associate in Applied Probability and Mathematical Finance at Carnegie Mellon University. I obtained my PhD in Mathematics at Cornell University in 2010. Before attending Cornell I obtained an M.S. in Mathematics from the Universidad de los Andes in Bogota, Colombia and a B.S. in Mathematics from the Universidad Nacional de Colombia in Bogota.
My area of research is the theory of stochastic processes and its applications to mathematical finance. My doctoral research was conducted under the direction of Professors Philip Protter, Robert Jarrow and Rick Durrett, and examined the possible effects of short sales prohibition on semimartingale financial models. Currently I am studying statistical properties of polynomial preserving processes as well as financial models with endogenous price impact. I am also interested in pricing rules and hedging in financial markets modeled with strict local martingales.
I have always enjoyed doing interdisciplinary research. In my bachelor's thesis titled "Wavelets: A tool for function representation", I studied variations of wavelet analysis techniques for sound compression. In my master's thesis titled "The Radon Transform and Wavelets", I implemented wavelet analysis' methods to improve the stability of the inverse Radon transform.