Projects

Active Research

Equilibrium of prices and holdings in continual restoration With Alejandro Jofré (CMM, U. Chile) and R.T. Rockafellar (U. Washington). Building on Deride, Jofré, Rockafellar (submitted) — extending the direct buying/selling equilibrium framework to dynamic settings.

Pricing contingent claims under stochastic perturbations With Wolfgang Breytmann and Nicolás Hernández (USM). Applying epi-convergence approximation theory to derivative pricing under model uncertainty.

Likelihood-based estimation with covariance structures With L. Jiménez and M. Rosado (USM). Developing optimization methods for structured covariance estimation problems.

Completed Projects

Stochastic equilibrium in incomplete financial markets (2023) Solo project — arXiv:2308.05849. Computational framework for equilibrium problems in economies with incomplete financial instruments and retention constraints.

CDF estimation under stochastic ambiguity (2024) With Johannes Royset (NPS) and Fernanda Urrea — published in Set-Valued and Variational Analysis. Variational approach to distribution estimation when the data-generating process is ambiguous. Code available on GitHub.

Stability and resilience of Chilean financial networks (2023) Funded by CMF Chile. Local stability analysis of interconnected financial networks with application to the Chilean banking system.

Stochastic infrastructure planning for EV fast charging (2016) With Yueyue Fan and Zhaomiao Guo (UC Davis) — published in Transportation Research Part C. Competitive market model for optimal placement of EV charging stations under demand uncertainty.

Probabilistic scenario generation for solar/wind power (2018) With David Woodruff, Andrea Staid et al. (Sandia National Laboratories) — published in Solar Energy. Methodology for constructing scenario trees representing forecast errors in wide-area renewable generation.

Consulting Projects

Available for applied projects in stochastic optimization, energy market modeling, and quantitative risk analysis. See Consulting for details.