Dept.
address:
Dept. of Mathematics
40
St. George St.
University of Toronto
Toronto Ontario M5S 2E4
Phone:
(416) 978 3984.
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, University of Toronto.
Professor, Rotman School of Business, 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
Institutional 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 Mittag—Leffler of the Royal Academy of Sciences of Sweden.
Bateman Instructor of Mathematics
(California Institute of Technology, 1985-89).
HONORS AND PRIZES
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).
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 3Ó, Instituto MEFF, p‡gs. 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 3Ó, Instituto
MEFF, p‡gs. 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. CÕordoba, 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. CÕordoba, 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 ÒApplications of Interval ComputationsÓ, 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. CÕordoba, 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. CÕordoba, C. Fefferman, L. Seco, Weyl Sums and Atomic Energy Asymptotics,
Revista Matem Iberoamericana, Vol.
11, no. 1. (1995), pp 167 – 228, 61 pages.
A. CÕordoba, 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, MasterÕs 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: ÒErgodic properties of
some Hidden Markov Models with applications to Mathematical FinanceÓ. 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: ÒLow discrepancy sequences in
probability spacesÓ, Present position: Trent University.
A. de los Santos, ÒA Mathematical
treatment of liquidity risk managementÓ, Ph.D. degree obtained in 2005. Present
position: Banco de Mexico.
M. Escobar, Ph.D. degree obtained
in 2004. Thesis title: ÒThe mathematics of commodities marketsÓ. Present
position: postdoctoral fellow, University of Toronto.
N.
Hernandez, Ph. D. degree obtained in 2002. Thesis title: ÒApplications of Descriptive
Measures in Risk ManagementÓ Present position: Risk Manager, Toronto Dominion
Bank.
M. Pivato,
Ph. D. degree obtained in 2001. Thesis title: ÒAnalytical techniques for
multivariate Levy distributionsÓ. 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: ÒMathematical Problems in the theory of
incomplete marketsÓ Present position: Assistant Professor, University of
Pittsburgh.
Zhan Yi, Ph. D. degree obtained in
2000. Thesis title: ÒViscosity Solutions of Nonlinear Degenerate Parabolic
Equations and Several ApplicationsÓ, 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 ÒCredit RiskÓ, sponsored by the Bank of Nova Scotia.
Present position: senior manager, CIBC.
Nikolai Potylitsine,
Research associate in the project ÒCredit RiskÓ, sponsored by the Bank of Nova
Scotia, Present position: manager, credit risk. Deloitte-Touche.
Alex Levin, Research associate in
the project ÒValue at RiskÓ, sponsored by the Bank of Montreal, Present
position: manager, Bank of Montreal.
Gustavo Comeza”a,
Research associate, RiskLab.
Ben Djerroud,
Research associate, RiskLab.