(2025) Existence of optimal controls for stochastic Volterra equations, with Andrés Cárdenas and Sergio Pulido. ESAIM: Control, Optimisation, and Calculus of Variations, vol. 31 p. 30.
(2025) Optimal investment with insurable background risk and nonlinear portfolio allocation frictions, with Hugo Ramírez. Applied Mathematics and Computation Vol 485, 129023.
(2024) ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach, with Camilo Castillo. Computational and Applied Mathematics, 43(4), 225.
(2023) Climbing the income ladder: Search and investment in a regime-switching affine income model. Finance Research Letters, Volume 58 Part A.
(2021) Optimal Control of Investment, Premium, and Deductible for a Non-Life Insurer, with Bent Jesper Christensen and Juan Carlos Parra-Alvarez. Insurance: Mathematics and Economics 101, 384–405.
(2021) Portfolio Allocation in a Levy-Type Jump-Diffusion Model with Nonlife Insurance Risk. International Journal of Theoretical and Applied Finance, vol. 24, no 01, p. 2150005.
(2021) Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics, with Mauricio Junca. Mathematics and Financial Economics, 15 pages 775–809.
(2015) On the LP formulation in measure spaces of optimal control problems for jump-diffusions. Systems & Control Letters 85, 33-36.
(2015) A note on space-time Hölder regularity of mild solutions to stochastic Cauchy problems in Lp-spaces, Brazilian Journal of Probability and Statistics 29 (4), 767-777.
(2015) Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models, with Oscar López. Stochastic Models 31 (2), 261-291
(2014) Backward Ornstein-Uhlenbeck Transition Operators and Mild Solutions of Non-Autonomous Hamilton-Jacobi Equations in Banach Spaces. Journal of Mathematics Research, 6(4), 55.
(2013) An alternative proof of the Aubin–Lions lemma, Archiv der Mathematik 101 (3), 253-257.
(2013) Optimal relaxed control of dissipative stochastic partial differential equations in Banach spaces, with Z. Brzezniak. SIAM Journal on Control and Optimization 51 (3), 2664-2703
Demand-based pricing in multi-line insurance: a Lévy-copula approach [PDF]
Search and wealth distribution in labor markets with concave job-finding rates, with Marcen Laguna [SSRN]
Input allocation and investment in a jump-diffusion multi-factor productivity model, with Camilo Castillo [PDF]
Dynamic Nash-Equilibrium Pricing in Competitive Non-Life Insurance Markets, with Bent Jesper Christensen and Juan Carlos Parra-Alvarez [Slides] [Preprint]
Optimal investment with stochastic income and uncertain time horizon, with Camilo Castillo [PDF]
Pricing financial derivatives with bilateral counterparty risk and funding costs: a numerical PDE approach, with Nicolás Torres [PDF]
Optimal consumption and investment in a multi-factor affine income model (with Sergio Pulido, ENSIIE) [Slides]
Innovation and Hedging: Portfolio Choice with Correlated R&D Costs [Slides]
Dynamic relative performance competition with stochastic income and CARA utility [Slides]
Dynamics of Sovereign Debt: A Continuous-Time Heterogeneous-Agent Approach (with Oscar Valencia, IADB)
Pure-jump financial models with regime-switching marked point processes (with Andrés Cárdenas, PhD student)
Precautionary saving and wealth distribution in a jump-diffusion income model, with Juan Carlos Zambrano (UniValle) and Marcen Laguna (URosario)
Mutual-fund separation theorems for benchmarking problems in jump-diffusion models
PhD Students
Juan Carlos Zambrano (2016 - 2020)
Camilo Castillo (2019 - 2024)
Andrés Cárdenas (2019- 2024)
Nadia Luczywo (2022 - )
Juan Camilo Santana (2023 - )
Daniel Ramírez (2024 - )
Marcen Laguna (2025 - )
Research visits
Department of Business and Business Economics, University of Aarhus, Denmark (2018, 2019, 2022, 2024)
ENSIIE, Laboratoire de Mathématiques et Modélisation d'Évry - Université Paris-Saclay, France (2022)
Universidade Estadual de Campinas, Brazil (2016)