{"id":5,"date":"2012-10-25T22:04:15","date_gmt":"2012-10-25T22:04:15","guid":{"rendered":"http:\/\/pages.charlotte.edu\/template-faculty01\/?page_id=5"},"modified":"2024-03-21T13:42:01","modified_gmt":"2024-03-21T13:42:01","slug":"home","status":"publish","type":"page","link":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/","title":{"rendered":"Welcome to Adriana Ocejo&#8217;s homepage!"},"content":{"rendered":"<h3><\/h3>\n<h3>Research areas of interest<\/h3>\n<ul>\n<li>Mathematical finance and actuarial science: risk management, derivatives pricing, stochastic volatility, interest rate modeling, portfolio allocation, variable annuities, retirement planning.<\/li>\n<li>Stochastic optimal control: optimal stopping, controlled diffusion processes, hybrid switching diffusions, martingale methods.<\/li>\n<\/ul>\n<h3>Publications<\/h3>\n<ul>\n<li>(2014)-\u00a0<em>Monotonicity of the value function of a two-dimensional optimal stopping problem.<\/em>\u00a0With S. Assing and S. Jacka.<em>\u00a0<\/em>In Annals of Applied Probability.\u00a0<a href=\"https:\/\/projecteuclid.org\/euclid.aoap\/1400073657\" target=\"_blank\" rel=\"noopener noreferrer\">[Link<\/a>]\u00a0<a href=\"https:\/\/arxiv.org\/pdf\/1208.3126.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">[Preprint]<\/a><\/li>\n<li>(2014)- <em>Time-change and control of stochastic volatility. <\/em>PhD Thesis. [<a href=\"http:\/\/wrap.warwick.ac.uk\/62030\/1\/WRAP_THESIS_Monge_2014.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">PDF]<\/a><\/li>\n<li>(2018)- <em>On the regularity of American options with\u00a0regime-switching uncertainty.\u00a0<\/em>With S. Jacka. In Stochastic Processes and their Applications. [<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S030441491730162X?via%3Dihub\" target=\"_blank\" rel=\"noopener noreferrer\">Link<\/a>] <a href=\"https:\/\/arxiv.org\/abs\/1309.1404\" target=\"_blank\" rel=\"noopener noreferrer\">[Preprint]<\/a><\/li>\n<li>(2018)<em> Asian option as a fixed-point.<\/em> In\u00a0Journal of Fixed Point Theory and Applications.\u00a0<a href=\"https:\/\/link.springer.com\/article\/10.1007\/s11784-018-0570-1\" target=\"_blank\" rel=\"noopener noreferrer\">[Link]<\/a>\u00a0<a href=\"https:\/\/arxiv.org\/pdf\/1510.08161.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">[Preprint]<\/a><\/li>\n<li>(2018)<em> Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms. <\/em>In Nonlinear Analysis: Hybrid Systems. <a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S1751570X18300323\" target=\"_blank\" rel=\"noopener noreferrer\">[Link<\/a>] [<a href=\"https:\/\/arxiv.org\/abs\/1804.08442\" target=\"_blank\" rel=\"noopener noreferrer\">Preprint<\/a>]<\/li>\n<li>(2019)\u00a0<em>Assessing Guaranteed Minimum Income Benefits and rationality of exercising reset options in variable annuities. <\/em>With R. Jones. In\u00a0 International Journal of Statistics and Probability. [<a href=\"http:\/\/www.ccsenet.org\/journal\/index.php\/ijsp\/article\/view\/0\/40382\" target=\"_blank\" rel=\"noopener noreferrer\">Link<\/a>]<\/li>\n<li>(2020)<em> Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion. <\/em>In Results in Applied Mathematics. [<a href=\"https:\/\/authors.elsevier.com\/sd\/article\/S2590037419300871\" target=\"_blank\" rel=\"noopener noreferrer\">Link<\/a>].<\/li>\n<li>(2022)<em> Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees<\/em>. With Anne MacKay. In Methodology and Computing in Applied Probability, Special Issue: &#8220;Advances in Actuarial Science and Quantitative Finance&#8221;<b><\/b>.<br \/>\nJ.L. Doob Best Paper Award. [<a href=\"https:\/\/link.springer.com\/article\/10.1007\/s11009-022-09942-5\">Link<\/a>] <a href=\"https:\/\/ssrn.com\/abstract=3486858\" target=\"_blank\" rel=\"noopener noreferrer\">[Preprint<\/a>]<\/li>\n<\/ul>\n<p><span style=\"font-family: Helvetica, Arial, sanserif;font-size: 1.3em\">Education<\/span><\/p>\n<ul>\n<li>PhD in Statistics (2014), University of Warwick, UK. <a href=\"http:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-content\/uploads\/sites\/683\/2012\/10\/AOcejo-PhD-Thesis.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Time-change and control of stochastic volatility.<\/a><\/li>\n<li>MSc in Mathematics (2009), Universidad de Sonora, Mexico.\u00a0<a href=\"http:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-content\/uploads\/sites\/683\/2012\/10\/AOcejo-MSc-thesis.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">American option pricing as a free-boundary problem<\/a>.<\/li>\n<li>BSc in Mathematics (2007), Universidad de Sonora, Mexico.<a href=\"http:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-content\/uploads\/sites\/683\/2012\/10\/AOcejo-BSc-thesis.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">The Henstock-Kurzweil integral and the Fundamental Theorem of Calculus (in Spanish)<\/a>.<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>Research areas of interest Mathematical finance and actuarial science: risk management, derivatives pricing, stochastic volatility, interest rate modeling, portfolio allocation, variable annuities, retirement planning. Stochastic optimal control: optimal stopping, controlled diffusion processes, hybrid switching diffusions, martingale methods. Publications (2014)-\u00a0Monotonicity of the value function of a two-dimensional optimal stopping problem.\u00a0With S. Assing and S. Jacka.\u00a0In Annals [&hellip;]<\/p>\n","protected":false},"author":1049,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"open","template":"","meta":{"footnotes":""},"coauthors":[3],"class_list":["post-5","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/pages\/5","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/users\/1049"}],"replies":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/comments?post=5"}],"version-history":[{"count":119,"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/pages\/5\/revisions"}],"predecessor-version":[{"id":491,"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/pages\/5\/revisions\/491"}],"wp:attachment":[{"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/media?parent=5"}],"wp:term":[{"taxonomy":"author","embeddable":true,"href":"https:\/\/pages.charlotte.edu\/adriana-ocejo-monge\/wp-json\/wp\/v2\/coauthors?post=5"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}