Professor of Mathematics
Ph.D. 1985 (probability), Minnesota; Licenciado en Ciencias 1981 (mathematics), Buenos Aires.

Email:

Research Interests:

Applied mathematics and probability theory. Mathematical modeling of financial markets and econometrics.

Affiliations:

Editorial Board, Communications on Pure and Applied Mathematics; Journal of Intelligent Material, Systems and Structures; Editorial Board, Applied Mathematical Finance; Editor, International Journal of Theoretical and Applied Finance.

Selected Works:

An E-ARCH model for the term structure of implied volatility of FX options, with Zhu, Y. Applied Mathematical Finance. 1997.

Calibrating volatility surfaces via relative entropy minimization, with Friedman, C., Holmes, R. and Samperi, D. Applied Mathematical Finance. 1997.

Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model, with Paras. A. Applied Mathematical Finance. 1996.

Dynamic hedging portfolios for derivative securities in the presence of large transaction costs, with A. Paras. Applied Mathematical Finance, 2. 1994.

Trapping, percolation and anomalous diffusion of particles in a two-dimensional random field, with F. Elliott, Jr.,and C. Apelian. J. Stat. Phys., 72. 1993. 1227.

Approximate and exact renormalization theories for a model for turbulent transport, with A. J. Majda. Physics of Fluids, A4, 1. 1992. 41-57.

Rigorous link between fluid permeability, electrical conductivity and relaxation times and mean survival time, with S. Torquato. Physics of Fluids, A3. 1991. 2529.

Mathematical models for turbulent transport with exact renormalization, with A. J. Majda. Comm. Math. Phys., 131. 1990. 381-429.