I am an associate professor in the Department of Economics and Business at the Universitat Pompeu Fabra (Barcelona). I completed my Ph.D. in Mathematics in 1998 at the University of Barcelona, with a dissertation based on Malliavin Calculus techniques applied to the study of stochastic integral equations.
My research relies on the applications of stochastic analysis in mathematical finance. In particular, it is focused on the application of Malliavin calculus techniques and the use of fractional noises in market modeling. Recently, I've started to study stochastic epidemiological models, and I'm also interested in the fractal properties of biological systems.
I currently serve as an Associate Editor at SIAM Journal on Financial Mathematics, Stochastic Analysis and Applications, Stochastic Processes and their Applications, and Mathematics.
I'm pleased to share with all of you the book Malliavin Calculus in Finance: Theory and Practice, written jointly with David García-Lorite.
The objective of this book is to offer a bridge between theory and practice. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling related to the vanilla, the forward, and the VIX implied volatility surfaces. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and explicit results.
The book is available at Routledge