I am generally interested in probability theory. My current interests are:
- Levy Processes.
- Stochastic Control.
- Optimal Stopping problems.
- Stochastic Finance.
- Monotonicity of the value function for a two-dimensional optimal stopping problem Joint with S. Assing, and S.D. Jacka (Annals of Applied Probability).
- American-type options with parameter uncertainty Joint with S.D. Jacka (Submitted).
I have actively participated in the groups:
- Stochastic Finance at Warwick
- Probability reading group
and attend regular meetings and seminars such as
Teaching and public engagement
My tutorials can be seen here.
Beyond research, I am committed to improve my teaching practice. To this end, I am on the process of getting the PGA Teaching & Learning in Higher Education award. The following workshops are part of the programme.
- Enhancing skills in small group teaching- 5 hrs workshop, 7 February 2013.
- Reflecting on your teaching and reflective writing- 2hrs workshop, 22 February 2013.
- Lecturing, assessment and research-based learning -5hrs workshop, 19 April 2013.
- Teaching outside your specialism -1.5hrs workshop, 16 May 2013.
- Teaching for creativity: Sciences - 2.5hrs workshop, 17 July 2013.
- Teaching inclusively -2.5 hrs workshop, 16 August 2013.
Also, I am a Warwick PGR Ambassador aiming to share my experience of being a postgraduate student. Part of my contribution has been:
- Helping with the Postgraduate Open Day,
- Sharing My PhD in 60 seconds (this was during my first year and it's aimed to a broad audience),
- Participating in the PG Hub Postgraduate Photo Competition to "encapsulate" my PhD (academia and life) in an image. My picture was one of the twelve winners (runner-up).
- PGR Lunches talk- "Knowing when to stop. Probability: the science of chance" (Talk). March 2013.
- Participating in the Images of Research Photography competition with the picture titled "Saddle point" (winner).
- Topics in Probability - Short Course, Mathematical Institute, University of Oxford (3-8 April 2011).
- Random Structures and Dynamics -UK Easter Probability Meeting, University of Oxford (11-14 April 2011).
- 47th Gregynog Statistical Conference, Wales (15-17 April 2011).
- 35th Conference on Stochastic Processes and their Applications, Mexico (19-23 June 2011).
- Summer School in Financial Mathematics/ Workshop on Stochastic Methods in Financial Markets, Slovenia (22 Aug-03 Sept 2011).
- Workshop- Topics in Control, University of Warwick, UK (30 Nov- 2 Dec 2011) Poster presented.
- Probability, Control and Finance: a Conference in Honor of Ioannis Karatzas. Columbia University, New York (June 2012) Poster presented.
- 35th Annual Research Students' Conference in Probability and Statistics, University of Southampton (July 2012) Talk presented.
- EPSRC Symposium Workshop - Optimal stopping, optimal control and finance (July 2012) Poster presented.
- School and Conference on Control and Games, University of Warwick, UK (7-10 May 2013).
- UK Mathematical Finance Workshop, King's College, London (3-4 June 2013).
- Recent Trends in Stochastic Analysis Conference, University of British Columbia, Canada (22-26 July 2013).
- 36th Conference on Stochastic Processes and their Applications, University of Boulder, Colorado (29 July- 2 Aug) Talk presented.
Presentations in conferences/workshops
- Dec, 2011- Workshop- Topics in Control, University of Warwick- "Regularity properties of optimal stopping values arising from stochastic volatility models" (Poster).
- June 2012- Probability, Control and Finance: a Conference in Honor of Ioannis Karatzas, Columbia University- "Monotonicity of the value function for a two-dimensional optimal stopping problem" (Poster).
- July 2012- EPSRC Symposium Workshop - Optimal stopping, optimal control and finance- (Same poster).
- July 2012- 35th Annual Research Students' Conference in Probability and Statistics, University of Southampton- "Regularity properties in two-dimensional optimal stopping problems and a game
against nature" (Talk).
- July 31, 2013- 36th Conference on Stochastic Processes and their Applications, University of Boulder, Colorado- "On a zero-sum game of stopping and control" (Talk).
A dot Ocejo-Monge at warwick dot ac dot uk
Department of Statistics
University of Warwick
Coventry CV4 7AL, UK