Rafael
de Santiago
Professor of Managerial Decision Sciences
鈥� Ph.D. in Mathematics, University of California, Irvine
鈥� Ph.D. in Economics, University of Valladolid
鈥� M.Sc. in Mathematics, University of California, San Diego
Rafael de Santiago is Professor in the Managerial Decision Sciences Department. He holds a Ph.D. in Mathematics from the University of California, Irvine, a Ph.D. in Economics from the University of Valladolid, and an M.Sc. in Pure Mathematics from the University of California, San Diego.
His research lies at the intersection of stochastic analysis, rough path theory, machine learning, and mathematical finance, with a particular focus on the identification and calibration of stochastic volatility models using path signatures and the analysis of realized variance from high-frequency financial data. He has also worked on asymptotic methods for derivative pricing.
Earlier in his career, his interest in the foundations of economic theory led him to the History of Economic Thought, where he studied the historical development of Utility Theory and Social Welfare. In addition to his academic research, he has carried out consulting projects in the areas of risk management, financial modeling, and optimization.
Areas of interest.
鈥� Rough Volatility and Stochastic Volatility Models
鈥� Signature Methods in Finance
鈥� Machine Learning in Mathematical Finance
鈥� Computational Finance
鈥� Decision Making under Uncertainty
鈥� Risk Management