Who am I?

I am an appointed Lecturer at Queen Mary London University and a former Newton’s fellowship of the Royal Society working on stochastic processes applied to Financial and Renewable Energies modelling.

My work falls in the research area of Probability and Numerical Analysis, conducting cutting edge research to develop efficient and robust numerical algorithms to simulate stochastic processes.

I have a proved mathematical research background with papers in top per review journals and served as a referee in several publications. A couple of my project proposals have been awarded funding in international selection processes; the most relevant one is my current grant funding of the Royal Society - the world’s oldest scientic society.

What am I looking for?

I am currently seeking for a drift change in my professional career towards the industrial sector near Barcelona. My research fits very well with highly technical proles in the Financial and Actuarial industry. I am a fast learner, capable of incorporating topics from other disciplines into my projects and produce high quality output. Due to my experience in academia, I have develop unique communication skills: from non expert audiences in lecture rooms to demanding technical talks delivered in conferences. Of paramount importance in my current position is to have leadership and independent thinking aptitudes, which provided me with a handful of international collaborations and the opportunity to work in several places such as Eindhoven (Netherlands), Madrid (Spain), Bath (UK) or London (UK). I am gifted with a can do attitude and consider myself cooperative, team player, open-minded and well organized. I have also acquire certain expertise in computer programming as part of my research is about numerical simulation. Although my current prole fits naturally into large international corporations, I am willing to learn new skills and I would consider working in small companies such as start ups providing technical services, as currently Barcelona is one of the hot spots in Europe for such kind of companies.

I would also take some lines to describe my personality, self motivation and determination by an experience showing that I am interested in a broad range of engineering and challenging problems. My final degree project dealt with the Kalman Filter, which is used in space positioning and navigation amongst other applications. In particular, I developed a Kalman Filter scheme to compute accurate fuel levels in a Formula1 car during a race competition and presented the project to the Altran Engineering Academy 2006 ; my project was chosen to represent Spain in a international competition held in the Head Quarters of the Renault F1 team in Enston, UK.

aferreiro.c@gmail.com

uk.linkedin.com/pub/albert-ferreiro-castilla/74/218/6a8/

(+34)619 492 512

ALBERT-FERREIROFinancial & Actuarial industry

Universitat Autònomade Barcelona

09 / 2001-06 / 2006

Universitat Autònomade Barcelona

09 / 2006-09 / 2007

Centre de RecercaMatemàtica, Barcelona.

09 / 2007-06 / 2008

Universitat Autònomade Barcelona

06 / 2007-05 / 2011

Centre de RecercaMatemàtica

06 / 2009-05 / 2011

Universidad Autónomade Madrid

09 / 2011-01 / 2012

University of Bath01 / 2012-09 / 2013

University QueenMary of London

10/2013 - Actually

2013

Mathematics Science degree

Final Project: Kalman Filtering

Advisor: K. A. Lindsay

Master in Advanced Mathematics

Final Project: Kalman-Bucy Filter

and Stochastic Calculus

Advisor: Frederic Utzet

Master in Mathematics for

Financial Engineering

PhD Mathematics

Theses: Stochastic Calculus and

Analytic Characteristic

Functions: Applications to Finance

Advisor: Frederic Utzet

Research assistant

Postdoc researcher and teaching

assistant

Postdoc researcher

Lecturer in Mathematical

Finance

1. Internship at the theoretical chemistry

research group CeRQT Centre en Química

Teòrica, at Parc Cientifi c de Barcelona.

2. Erasmus scholarship holder. Done the

last year of the degree and fi nal project at

University of Glasgow, Scotland.

3. Holder of the Mathematics’s Degree

Extraordinary Prize.

1. PhD Grant from Centre de Recerca

Matemàtica, Barcelona.

2. Grant MTM2006-06427 from Ministerio

de Ciencia e Innovación, Spanish Goverment.

Member of the research group awarded.

Postdoctoral grant from Alianza 4

Universidades.

Postdoctoral grant Newton International

Fellowship from the Royal Society.

CENTRE DE RECERCA MATEMÀTICA 2009-11

Barcelona / Spain

The main task during this post was research:

• PhD in Probability (Statistics and Operational

Research).

• A signifi cant part of this research is about studying

a stochastic process through its characteristic

function. The advantage of such point of view

is the possibility of applying deep results from

complex analysis to derive properties on the

characteristic function which can be translated

into probabilistic properties of the process itself.

This is the philosophy behind most of the ideas and

justifi es the thematic unity of my PhD.

UNIVERSIDAD AUTONÓMA 20011-12

Madrid / Spain

The main task during this post was teaching:

• Teaching Statistics at the Nutrition Science

degree. The course constitutes the fi rst encounter

of the student with statistics and treated topics

are descriptive statistics, statistical inference,

test hypothesis, linear regression, ANOVA.

Part of the course consisted in introducing the

computer program SPSS.

E X P E R I E N C E D E T A I L S

UNIVERSITY OF BATH 2012-13

Bath / United Kingdom

The main task during this post was research:

• Lévy processes have received increasing attention

during the last decades, both for mathematical

reasons as well as practical applications. One fi eld

which has fi rmly embedded this class of processes

into its research machinery is Mathematical

Finance. Wiener-Hopf theory has largely

contributed little to practical applications because

there are few cases for which the factorization

is known. Extremely recent developments have

exposed a methodology to develop families of

factorizations for large classes of processes. This

new point of view has an overwhelmingly obvious

application to various fi nancial models, invoking

sophisticated numerical techniques that can have

real impact through new, more convenient families

of factorizations. The project thus aims to dig

deeper into Wiener-Hopf theory, bringing forward

new analytic results that will feed directly into

numerical methods.

UNIVERSITY QUEEN MARY 2013-T

London / United Kingdom

This post constitutes the fi rst appointment as a

university staff involving research, teaching and

administrative tasks:

• Research in Mathematical Finance and Actuarial

Science.

• Teaching Advance Computing in Finance at the

Master in Mathematical Finance. The course

extends the previous knowledge of the student in

C++ (the most popular programming language of

practitioners in the bank industry) by implementing

popular numerical tools ranging from Monte Carlo

methods to Finite Elements.

• Administrative duties:

− Careers&Publicity of the MSc in

Mathematical Finance.

− Careers&Employability of the Undergraduate

programm in Mathematics.

E X P E R I E N C E D E T A I L S

M O R E I N F O R M A T I O N

Research Expertise:

Stochastic Differential Equations; Malliavin Calculus; Analytic Characteristic Functions; Lévy processes; Monte Carlo algorithms; Stochastic Analysis; Mathematical Finance.

Publications:

Journals

Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals.Journal of Applied Probability (To appear 2014)Authors: A. Ferreiro-Castilla, K. van Schaik.

Multilevel Monte Carlo simulation for Lévy process based on the Wiener-Hopf factorization.Stochastic Process. Appl. (To appear 2014)Authors: A. Ferreiro-Castilla, A.E. Kyprianou, R. Scheichl, G. Suryanarayana.

Pricing of contingent convertibles under smile conform models.Journal of Risk (To appear 2013)Authors: J.M. Corcuera, J. De Spiegeleeer, A. Ferreiro-Castilla, A.E. Kyprianou, D.B. Madan, W. Schoutens.

ß-Meixner model.Journal of Computational and Applied Mathematics (2012)Authors: A. Ferreiro-Castilla, W. Schoutens.

Lévy area for Gaussian processes: A double Wiener-Itô integral approach.Stat. Probabil. Lett. (2012)Authors: A. Ferreiro-Castilla, F. Utzet

Inversion of analytic characteristic functions and innite convolutions of exponential and Laplace densities.J. Theor. Probab. (2011)Authors: A. Ferreiro-Castilla, F. Utzet

On the density of log-spot in Heston volatility model.Stoch. Process. Appl. (2010)Authors: S. del Baño Rollin, A. Ferreiro-Castilla, F. Utzet

Preprints

An Euler-Poisson scheme for numerical approximation of Lévy driven SDEs.Authors: A. Ferreiro-Castilla, A.E. Kyprianou and R. ScheichlReference: (submitted) arxiv.org/abs/1309.1839, 2013.

M O R E I N F O R M A T I O N

Teaching

09/2011 Statistics. Second year course in Nutrition degree at Universidad Autònoma de Madrid.

09/2010 Propaedeutics course on mathematics for Engineering School at Universitat Autònoma de Barcelona, Barcelona.

12/2009 Introductory course on stochastic processes for students of the Master in Mathematics for Financial Engineering at Centre de Recerca Matemàtica, Barcelona.

10/2006 Tutor fellowship for a course on Numerical Analysis at the mathematics department at Universitat Autònoma de Barcelona.

10/2005 Teaching’s support fellowship at the Mathematics Department at University of Glasgow.

10/2004 Tutor fellowship for a course on Statistics at the Environmental Science degree at Universitat Autònoma de Barcelona.

Visiting Membership

22/09-23/12/2010 Eurandom. Eindhoven, Netherlands. Hosted by Prof. Wim Schoutens.

02/05-06/05/2011 University of Bath. Bath, UK. Hosted by Prof. Andreas E. Kyprianou.

14/10-28/10/2012 ETH. Zürich, Switzerland. Hosted by Prof. Andreas E. Kyprianou.

12/11-16/11/2012 University of Manchester. Manchester, UK. Hosted by Dr. Kees van Schaik.

16/12-21/12/2012 ETH. Zürich, Switzerland. Hosted by Prof. Andreas E. Kyprianou.

03/05-07/05/2013 University of Manchester. Manchester, UK. Hosted by Dr. Kees van Schaik.

Referee

International Journal of Theoretical and Applied Finance; Stochastics: An International Journal of Probability and Stochastic Processes; Statistics & Risk Modeling

LANGUAGES

BIRTHDATE / 18th April 1983PERSONAL DETAILS:

ADDRESS HOME ADDRESS OFFICE

BIRTHPLACE / Barcelona

COMPUTER SKILLS

OTHER

CMaple

MatlabExcel

OctaveGnuPlot

LATEX

Member of the committee responsible for

rewriting the statutes of the Universitat

Autònoma de Barcelona Science Faculty

during the academic year 2003/04.

Member of the Universitat Autònoma de

Barcelona Science Faculty’s senate during

the academic year 2001/02.

ANECA accreditation Profesor Ayudante

Doctor (2012).

AQU accreditation Professor Lector (2012).

Second classifi ed in the Altran Engineering

Academy 2006 of Renault F1 Team at Enstone,

England. Engineering competition consisting

in developing a project to improve a Formula

1 car. Finalists were almost from all over the

world and I was representing Spain.

Sol i Padrís 45 2º 2ª

08203 Sabadell • Barcelona (Spain)

tel.: +34 619 49 25 12

aferreiro.c@gmail.com

School of Mathematical Sciences

Queen Mary University of London

Mile End Road • London E1 4NS

tel.: +44 (0)20 7882 5471

a.ferreiro-castilla@qmul.ac.uk

SPANISH

M.T.

Dr. Albert Ferreiro Castilla

M O R E I N F O R M A T I O N

CATALAN

M.T.

(*) T.O.E.F.L. (ref: 0000 0000 0237 3960) • F.C.E. (ref: 013ES0170499)

ENGLISH

FLUENT

*

Dr. Albert Ferreiro Castilla

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