CURRICULUM VITAE

LUIS A. SECO

Dept. address:

        Dept. of Mathematics

        40 St. George St.

        University of Toronto

        Toronto Ontario M5S 2E4

Phone: (416) 907 0716.

Fax:   (416) 978 4107

 

DEGREES

Ph.D. Princeton University (1989).

B.Sc. Universidad Autonoma,  Madrid (1985).

 

EMPLOYMENT

Current:

Professor, Department of Mathematical and Computational Sciences, Rotman School of Business, Department of Statistics, University of Toronto.

Director, Master in Mathematical Finance, University of Toronto.

Director, University of Toronto RiskLab.

President and Chief Executive Officer, Sigma Analysis and Management Ltd.

Associate Editor, Canadian Applied Mathematics Quarterly, and the Journal of Risk Management in Financial Institutions.

Member of the Steering Committee, Professional Risk Management International Association (Toronto Chapter).

Member of the Research Committee, Alternative Investment Management Association

Member of the CREATE SC of the Natural Sciences and Engineering Sciences Council of Canada

Past:

Visiting Professor (1999) Princeton University, University of Texas at Austin.

Visiting Professor (1995) Universite de Paris-IX 1995

Visiting Professor (1994) Schroedinger Institut—Vienna

Visiting Professor (1991) Universidad Aut'onoma de Madrid 1991

Visiting Professor (1993) Institut MittagLeffler of the Royal Academy of Sciences of Sweden.

Bateman Instructor of Mathematics (California Institute of Technology, 1985-89).

 

HONORS AND PRIZES

Caballero de la Orden del Merito Civil (2011)

NSERC Synergy Award (2007)

Fields Institute Fellow (2002),

Sloan Fellowship (1996),

Connaught Fellowship (1992),

Sloan Foundation Graduate Dissertation Fellowship (1985),

Spanish Mathematical Society Fellowship (1980).

 

RESEARCH AWARDS

Sloan Foundation Research Grant (1996),

NATO Science Division CRG award (1992 and 1994),

NSERC Research Grant (1992---2009),

NATO Science division (1993-98),

CICYT--Spanish Research Council Research Grant, (1995),

NSERC CNF grant (1994),

NSERC Equipment Grant (1994).

 

INDUSTRIAL RESEARCH PARTNERS

Algorithmics Inc.

Bank of Nova Scotia

Bank of Montreal

Refco Futures (Canada) Ltd.

The Ontario Teachers Pension Plan

Credit Union of Central Ontario.

R2 technologies.

 

OTHER

Member of NSERC DAS #1073 (2009)

Member of NSERC GSC 337, Chairman of joint equipment subcommittee (2001-2003).

 

Public Research Profile on ResearchGate


PUBLICATIONS

 

Escobar, Friederich, Krayzler, Seco, Zagst. An Intensity-Based Approach for Modeling Hedge Fund Equity, Proceedings of the 3rd International Conference on Risk Management and Global e-Business, Vol. 1, pp. 6 – 16, Inha University, Incheon, Korea 2009.

 

Elkhodiry, Paradi, Seco. Using Equity Options to Imply Credit Information. Annals of Operations Research, 2009. 35 pages.

 

Abinzano, Escobar, Olivares , Seco: Single and Double Black-Cox for pricing risky debt and equity with reorganization, Economic Modelling, Volume 26, Issue 5, September 2009, Pages 910-917.

 

M. Escobar, S. Kraemer, F. Scheibl, L. Seco, R. Zagst, Hedge Funds as Knock-out Options; submitted to Contemporary Mathematics, American Mathematical Society.

S. Carrillo, N. Hernandez, P. Olivares, L. Seco, A Theoretical Comparison between Moments and L-Moments, Statistics and Decisions.

S. Carrillo, N. Hernandez, P. Olivares, L. Seco, New families of distributions fitting L-moments for fitting financial data, Submitted to the European Journal of Operations Research.

M. Escobar, B. Goetz, L Seco and R. Zagst, Pricing a spread option on stochastically correlated underlyings, Journal of Computational Finance, Vol. 12, no. 3. Pp 31-61. (2009)

M. Escobar, B. Goetz, L Seco and R. Zagst, Pricing a Collateralized Debt Obligation on stochastically correlated assets. Accepted for publication, Journal of Quantitative Finance. (2009)

M. Escobar, A. Kiechle, L Seco and R. Zagst, The Price of Liquidity in Constant Leverage

Strategies. Accepted for publication, Special volume on Actuarial and Financial Mathematics, Journal of the Academy of Sciences, Spain. (2009).

 

H. Mauser, D. Saunders, L. Seco, Optimizing Omega, Risk, November 2006.

M. Escobar, and L. Seco, Risk Transfer, Accepted for publication, International Journal of Services Sciences, Vol 1, no. 1. (2008)

M. Escobar, and L. Seco, The Mathematics of Risk Transfer, New Frontiers in Enterprise Risk Management, Olson and Wu (Eds.). Springer (2008)

U. Ansejo, M. Escobar, J. Hernandez and L. Seco, Correlation breakdown in the pricing of Collateralized Fund Obligations, Journal of Alternative Investments, Winter 2006.

L. Seco, Hedge Funds: truths and myths, Revista de Economia Financiera (Kluwer), No. 6 (2005).

M. Escobar, and L. Seco, A Partial differential equation for credit derivatives pricing, CRM proceedings of the conference on Partial Differential equations in very high dimensions, August 2005. 20 Pages.

I. Buckley, D. Saunders and L. Seco, Portfolio Optimization when the asset returns have the Gaussian mixture distribution, European Journal of Operations Research, Volume 185, issue 3, pp. 1434-1461 (2008).

J. Hernandez, D. Saunders and L. Seco, Risk Factor Calibration for Markets with Stochastic Drift, Submitted to Computers and Operations Research.

M. Escobar, L. Seco, Residual Model for Futures Prices, Preprint, to be submitted to the Journal of Futures.

M. Escobar and L. Seco, Defaultable forward contracts: modelling and pricing, Submitted to the International Journal of Pure and Applied Finance.

I. Buckley, G. Comezana, B. Djerroud, L. Seco, Portfolio Optimization for Alternative Investments, "Seminario MEFF-UAM, volumen 3”, Instituto MEFF, págs. 1--14, 2003, ISBN: 84-688-2450-X, 12 pages.

O. Criossant, G. Comezana, M. Escobar, P. Fernandez, N. Hernandez,  L. Seco, Non-gaussian Multivariate simulations in Mark-to-Future calculations, "Seminario MEFF-UAM, volumen 3”, Instituto MEFF, págs. 51--64, 2003, ISBN: 84-688-2450-X, 14 pages.

L. Seco, Value-at-Risk, Proceedings, Lecture Series of the Spanish Financial Futures Institute (MEFF), 1999, 18 pages.

M. Escobar, N. Hernandez, L. Seco, Commodities Forwards and Futures, Term Structure and Forecasting, Proceedings, Risk Management Conference, Madrid October 2001, 12 pages.

M. Pivato, L. Seco, Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis, J. of Multivariate Analysis, Volume 87, Issue 2, November 2003, Pages 219-240.

J. Bolland, T. Hurd, M. Pivato, L. Seco, Measures of Dependence for Multivariate Levy Distributions, Disordered and Complex Systems, edited by P. Sollich et al., American Institute of Physics. 2001.

R. Brummelhuis, A. C’ordoba, M. Quintanilla, L. Seco, Principal Component Value-at-Risk, International Journal of Theoretical and Applied Finance, Vol. 3, number 3 (2000), pp 541-545.

R. Brummelhuis, A. C’ordoba, M. Quintanilla, L. Seco, Principal Component Value-at-Risk, Journal of Mathematical Finance, (2001), Vol. 12 (1), 23-43.

C. Albanese and L. Seco, Harmonic Analysis and Value at Risk Calculations, Revista Matematica Iberoamericana} Volume 17 (2001), no. 2, p. 195-220.

L. Seco, Investing without Market Risk, Benefits and Pension Monitor, August 2000.

R. Beals. P. Greiner, Y. Jiang and L. Seco, A Functional Calculus on the Heisenberg Group and the Boundary Layer Potential square for the Neumann Problem, Journal of Functional Analysis, no. 1, 205-228 (1998), 23 pages.

C. Fefferman and L. Seco, Arithmetic Aspects of Atomic Structures Phys, Helv. Acta, 1998, pp 1--25, 25 pages.

C. Fefferman and L. Seco, Number Theory and Atomic Densities, IMA Lecture Notes, 1997, 16 pages.

C. Fefferman and L. Seco, Interval Arithmetic in Quantum Mechanics, in “Applications of Interval Computations”, Applied Optimization, Vol. 3, 145 -- 167, Kluwer Pub., Dordrecht, Netherlands(1996), R.~B.~Kearfoot and V.~Kreinovich, Editors, 23 pages.

C. Fefferman, L. Seco, The Density in a 3-Dimensional Radial Potential, Advances in Math. Vol. 111 no. 1, March 1995, 88 – 161, 80 pages.

C. Fefferman, L. Seco, The Eigenvalue Sum in a 3-Dimensional Radial Potential, Adv. Math. (1996) no. 1, 26-116, 91 pages.

C. Fefferman and L. Seco, The Mathematics of Large Atoms, Proc. P.D.E. Conf., St Jean de Monts 1995, 12 pages.

C. Fefferman and L. Seco, The Spin of the Ground State of an Atom, Revista Matem, Vol 12, no. 1 (1996), 18 pages.

A. C’ordoba, C. Fefferman, L. Sec, A Number--Theoretic Estimate for the Thomas--Fermi Density, Comm. P.D.E., (1996) no. 7-8, 1087-1102, 14 pages.

A. C’ordoba, C. Fefferman, L. Seco, Weyl Sums and Atomic Energy Asymptotics, Revista Matem Iberoamericana, Vol.  11, no. 1. (1995),  pp 167 – 228, 61 pages.

A. C’ordoba, C. Fefferman, L. Seco, A Trigonometric Sum relevant to the Non—relativistic Theory of Atoms, Proceedings of the National Academy of Sciences, USA; Vol.91 pp.5776 -- 5778, June 1994, 3 pages.

L. Seco, Number Theory, Classical Mechanics and the Theory of Large Atoms, Proc. on Math. Quantum Theory II: Schr"odinger Operators, Vancouver, Canada. 1993,  Ed.  J. Feldman, R. Froese, L. M. Rosen, 8 pages.

C. Fefferman, L. Seco, The Eigenvalue Sum in a 1-Dimensional Potential, Advances in Math, Vol. 108 no. 2, Oct 1994; 263 – 335, 73 pages.

C. Fefferman, L. Seco, On the Dirac and Schwinger Correction to the Energy of a Large Atom, Advances in Math., Vol. 107 no. 1, Aug 1994, 1 – 185, 185 pages.

C. Fefferman, L. Seco, The Density in a 1-Dimensional Potential, Advances in Math., Vol. 107 no. 2, Sep 1994, 187 – 364, 177 pages.

C. Fefferman, L. Seco, Aperiodicity of the Hamiltonian Flow in the Thomas--Fermi Potential, Revista Matem Iberoamericana, Vol. 9, no. 3 (1993), pp 409 – 551, 142 pages.

C. Fefferman and L. Seco, Eigenvalues and Eigenfunctions of Ordinary Differential Operators, Advances in Math. Vol. 95, no. 2, Oct 1992, 145 – 305, 160 pages.

C. Fefferman, V. Ivrii, L. Seco and I. Sigal, The Energy Asymptotics of Large Coulomb Systems, Springer Lecture Notes in Physics, Vol. 403, 79—99, 20 pages.

C. Fefferman and L. Seco, On the Atomic Energy Asymptotics, Mathematical Physics X, Springer--Verlag (1991), K. Schm Editor.  Proc. International Conference Math. Phys., Leipzig, 408—418, 11 pages.

R. Hempel, L. Seco and B. Simon, The Essential Spectrum of Neumann Laplacians on Some Singular Bounded Domains, J. of Funct. Analysis Vol. 102, No. 2 December 1991, 50 pages.

C. Fefferman, L. Seco, The Ground State Energy of a Large Atom, Bulletin of the Amer. Math. Soc., Vol. 23, no. 2, 525---530, Oct. 1990, 5 pages.

L. Seco, I. Sigal and P. Solovej, Bound on the Ionization Energy of Large Atoms, Communications in Mathematical Physics, Vol. 131, 307---315, 1990, 9 pages.

C. Fefferman and L. Seco, Asymptotic Neutrality of Atoms, Communications in Mathematical Physics, Vol.128, 109---130, 1990, 22 pages.

L. Seco, Lower Bounds for the Ground State Energy of Atoms, Thesis, Princeton University, 1989, 185 pages.

C. Fefferman and L. Seco, An Upper Bound to the Number of Electrons in a Large Ion, Proceedings of the Nat. Academy of Science USA, Vol. 86, no. 10 May 1989, 3464-3465, 2 pages.

L. Seco, Computer Assisted Lower Bounds for Atomic Energies, IMA Series in Math. and App. Vol. 28, 241---251, Proceedings of the Conference in Computer Aided Proofs in

MASTER'S STUDENTS

 

Yunyoung Kim, Principal component analysis and equity market indices, 2010

Xiyuan Gao, 1/N portfolio optimization theories, 2010

Wei Zhang, Collateralized Fund Obligations in Incomplete markets, 2010

Andrew Holm, Stochastic analysis and option pricing theories, 2010

Andreas Reuss, Regime switching of stable distributions, 2010

Christopher Vogt, Master’s thesis: A fund of hedge funds under regime switching, 2009

Tim Friederich, Stochastic correlation in hedge fund modeling, 2008

Mikhail Krayzler, Intensity based models for fund returns, 2008.

Ryan Holm, Master's Thesis: Stochastic correlation in credit risk, 2007

Stefan Kraemer, Master's Thesis: Contingent claim models for hedge funds, 2007

Florian Scheibl, Master's Thesis: Contingent claim models for hedge funds, 2007

Andreas Kiefer, Master's Thesis: CPPI Options, 2006

Barbara Goetz, Master's Thesis: Stochastic correlation for spread options, 2006

Wenbin Kong, Master's Thesis: Dependence measures in credit risk, 2005

Julia Tetriakova, Master's Thesis: Stochastic correlation in credit markets, 2005.

Jie Chen, Master's thesis: The Omega statistic in asset management, 2004

Chris Pollock, Master's thesis: Finance in the Pharmaceutical Industry, 2003

Nataliya Portman, Master's thesis: Estimation of correlations from incomplette data, 2003

Nasim Javaherian, Master's thesis: Estimation of credit default frequencies, 2002

Tomasz Kitta, Master's thesis: Energy Derivative pricing, 2001.

Tomasz Wojcik, Master's thesis: Stress Testing, 2001.

Ann Nguyen, Master's thesis: Portfolio Theory, 2001.

Farzaneh Asgharpour, Master's thesis: Non-stationary extensions to Markowitz theory, 2002. Present position: instructor, Ivy Tech-Bloomington, Indiana.

Mustafa Choukri, Master's thesis: Credit Risk, 2002.

Tricia Kay, Master's thesis: Mean reverting stochastic models in energy markets, 2002.

M. Soltys, Master's thesis:Optimization, University of Toronto. Date of completion: Sept. 1996.

M. Freiheit, Master's thesis: Spectral Analysis in Acoustics, University of Toronto. Date of completion: Sept. 1996.

A. Nedelcu, Master's thesis: Ginzburg Landau vortices, University of Toronto, Date of Completion: Sept 1996.

Dave Saunders., Master's thesis: Optimization methods in finance. Date of completion: Sept 1997.

Sean Uppal, Master's thesis: Partial differential equations in finance, Date of completion: Sept 1997.

Marco Pollanen, Master's Thesis: Elliptic curve cryptography, Date of Completion: Sept 1997.

Norbert Fogarasi, Master's Thesis: Piecewise constant Hull--White model, Date of Completion: June 1998.

Darron Brewster, Master's Thesis: Credit Risk: Creditmetrics, Date of completion: Sept. 1998.

Hayssam Hulays, Master's Thesis: The CreditMetrics Document, Date of completion: Sept. 1998.

Kenwyn Warner, Master's Thesis: Credit Risk Premia for European Options, Date of completion: Sept. 1998.

Jacqueline Law, Master's Thesis: Calibration of Interest Rate Models, Date of completion: May 1999.

Nigel Hernandez, Master's Thesis: Stochastic Programming in Portfolio Theory, Date of completion: May 2000.

Alejandro de los Santos, Master's Thesis: Currency hedging, Date of completion: Sept 2000.

Rafa Santander, Master's Thesis: Mathematical aspects of Financial Risk Management, Date of completion: Jan 2000.

Ed Watson, Master's Thesis: Hedging Credit Risk, Date of completion: Sept. 2000.

DOCTORAL STUDENTS

 

H. Arian, Ph.D. obtained in 2009. Thesis title: Financial Engineering of the Stochastic

Correlation in Credit Risk Models. Current position: RBC.

J. Hernandez, Ph.D. obtained in September 2006. Thesis title: “Ergodic properties of some Hidden Markov Models with applications to Mathematical Finance”. Present position: Assistant Professor, ITAM (Mexico).

U. Ansejo, Ph.D. obtained in 2006, Department of Physics, Universidad del Pais Vasco, joint supervision with Prof. A. Vergara.

E. Elkhodiry, Ph.D. obtained in 2006, Department of Chemical Engneering, joint supervision with Prof. J. Paradi.

M. Pollanen, Ph. D. degree obtained in 2005. Thesis title: “Low discrepancy sequences in probability spaces”, Present position: Trent University.

A. de los Santos, “A Mathematical treatment of liquidity risk management”, Ph.D. degree obtained in 2005. Present position: Banco de Mexico.

M. Escobar, Ph.D. degree obtained in 2004. Thesis title: “The mathematics of commodities markets”. Present position: postdoctoral fellow, University of Toronto.

N. Hernandez, Ph. D. degree obtained in 2002. Thesis title: “Applications of Descriptive Measures in Risk Management” Present position: Risk Manager, Toronto Dominion Bank.

M. Pivato, Ph. D. degree obtained in 2001. Thesis title: “Analytical techniques for multivariate Levy distributions”. Present position: Associate professor, Trent University.

I. Dominguez, Ph. D. Student (School of Business, Univ. de Extremadura, Spain). Research Area: Risk Management in Actuarial Science. Joint with Prof. Manuela Bosch Princep, Universidad de Barcelona. Degree obtained in 2001. Present position: Associate Professor, Universidad de Extremadura.

D. Saunders, Ph. D. degree obtained in 2001. Thesis title: “Mathematical Problems in the theory of incomplete markets” Present position: Assistant Professor, University of Pittsburgh.

Zhan Yi, Ph. D. degree obtained in 2000. Thesis title: “Viscosity Solutions of Nonlinear Degenerate Parabolic Equations and Several Applications”, Present position: Consultant, Octane High Performance E-Business 

 

POSTDOCTORAL FELLOWS

Marcos Escobar, University of Toronto, 2004-06. Topic: Risk Management.,

Anne-Marie Allison, University of Toronto, 1999-2000. Topic: Risk Management.,

Stathis Tompaidis, University  of Toronto, 1996-97. Topic: Financial Mathematics, Present position: assistant professor, School of Business, University of Texas, Austin.

Stathis Tompaidis, University of Toronto, 1994-95. Topic: Quantum states and classical dynamics.

 

SUPERVISED POSITIONS

Barindar Sandhu, System administrator, Master's in Mathematical Finance computer laboratory.

Yen Tieu, System administrator, RiskLab.

John Im,  Research associate in the project “Credit Risk”, sponsored by the Bank of Nova Scotia. Present position: senior manager, CIBC.

Nikolai Potylitsine, Research associate in the project “Credit Risk”, sponsored by the Bank of Nova Scotia, Present position: manager, credit risk. Deloitte-Touche.

Alex Levin, Research associate in the project “Value at Risk”, sponsored by the Bank of Montreal, Present position: manager, Bank of Montreal.

Gustavo ComezaĒa, Research associate, RiskLab.

Ben Djerroud, Research associate, RiskLab.