Sebastian Ferrando, Toronto Metropolitan University

Research

martingales minmax no arbitrage pathwise stochastic integration worst case modeling

Latest funding

Trajectorial Martingales and Worst Case Approach to Market Models
NSERC · 2018 · Principal investigator
$120,000
Modeling a fund of hedgefunds by means of stochastic covariance processes
NSERC · 2013 · Co-investigator
$220,000
""Non Probabilistic Financial Mathematics. Discretization of Processes, Wavelets and Applications.""
NSERC · 2012 · Principal investigator
$60,000

All 8 grants and awards

Trajectorial Martingales and Worst Case Approach to Market Models

Principal investigatorNSERC2018Discovery Grants Program - Individual

Principal investigators: Ferrando, Sebastian

Keywords: martingales; minmax; no arbitrage; pathwise stochastic integration; worst case modeling

$120,000

Modeling a fund of hedgefunds by means of stochastic covariance processes

Co-investigatorNSERC2013Collaborative Research and Development Grants

Principal investigators: EscobarAnel, MarcosLazaro

$220,000

""Non Probabilistic Financial Mathematics. Discretization of Processes, Wavelets and Applications.""

Principal investigatorNSERC2012Discovery Grants Program - Individual

Principal investigators: Ferrando, Sebastian

$60,000

Modelling and risk management of a hedge fund of hedge funds

Co-investigatorNSERC2009Collaborative Research and Development Grants

Principal investigators: Olivares, Pablo

$160,000

Applied mathematics research laboratory

Co-investigatorNSERC2007Research Tools and Instruments - Category 1 (<$150,000)

Principal investigators: EscobarAnel, MarcosLazaro

$30,000

Adaptive martingale expansions applications to mathematical finance signal processing stochastic processes

Principal investigatorNSERC2005Discovery Grants Program - Individual

Principal investigators: Ferrando, Sebastian

$60,000

Wavelet software and adaptive denoising, oscillations of ergodic averages

Principal investigatorNSERC2001Discovery Grants Program - Individual

Principal investigators: Ferrando, Sebastian

$40,000

Bishop's upcrossing inequalities. Adapted wavelet analysis and neural networks

Principal investigatorNSERC1997Discovery Grants Program - Individual

Principal investigators: Ferrando, Sebastian

$35,280

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

Write to this professor

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Applying for

Subject: Prospective PhD student: martingales Dear Professor Ferrando, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research on martingales connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]