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Dr Camilo Garcia Trillos
712
Department of Mathematics
25 Gordon Street
London
WC1H 0AY
Appointment
  • Lecturer in Financial Mathematics
  • Dept of Mathematics
  • Faculty of Maths & Physical Sciences
Biography

I am currently Lecturer at the Department of Mathematics at UCL. Previously I held a research associate position at University of Nice Sophia Antipolis and UCL. Before starting my academic life, I worked in risk management at  FNG


 I completed my undergraduate education in mathematics and in engineering from Universidad de los Andes in Colombia, where I was awarded a Magna cum Laude. An Erasmus Mundus scholar, I obtained my MSc in applied mathematics from University Nice Sophia Antipolis and a Laurea Specialistica from Universita degli Studi dell’Aquila. I completed my PhD studies in applied mathematics at University Nice Sophia Antipolis working under the supervision of François Delarue.

Research Summary

My main research interests are in the area of Backward Stochastic Differential Equations (BSDEs), probabilistic numerical methods and applications, particularly in financial mathematics.


Some of my contributions include a study of the solution of BSDEs with coefficients or constraints depending on the probability law of the solution (McKean Vlasov BSDEs and mean-reflected BSDEs respectively), the error expansion of the cubature approximation of BSDEs, and its application in the calculation of some financial reserves for Central Counterparties. I have also studied the asymptotic approximation of two-scaled ergodic systems. 
  
Research topics: Numerical methods, financial mathematics, stochastic control. 

Teaching Summary

I am currently teaching "Market risk, measures and portfolio theory" for the the MSc Financial Risk Management, MSc Computational Finance and MSc Financial Mathematics.


At my previous positions I taught Probability, Statistics, Calculus, Programming in C++ and Signal Theory.

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