Researcher

Mr Len Patrick Garces

Keywords

Fields of Research (FoR)

Financial mathematics, Stochastic analysis and modelling, Insurance studies

Biography

Len Patrick Garces is a Senior Research Associate at the ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Business School, where he investigates continuous-time stochastic mortality models and their applications to actuarial valuation. Len is also a PhD candidate at the University of South Australia. His PhD research focuses on the use of stochastic volatility and jump-diffusion models and formulating correspoding numerical...view more

Len Patrick Garces is a Senior Research Associate at the ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Business School, where he investigates continuous-time stochastic mortality models and their applications to actuarial valuation. Len is also a PhD candidate at the University of South Australia. His PhD research focuses on the use of stochastic volatility and jump-diffusion models and formulating correspoding numerical methods for option pricing.

His research interests lie within the field of financial and actuarial mathematics, primarily on the applications of probability theory and stochastic analysis to tackle financial and actuarial problems (e.g. financial or insurance risk modelling and management, asset price modelling, term structure modelling, pricing and hedging financial derivatives) and the development of numerical and statistical methods to solve these problems.

Prior to commencing at UNSW, Len was a Research Assistant at the University of South Australia (from January to August 2021) and an Instructor at the Department of Mathematics of Ateneo de Manila University, Philippines (from 2015 to 2018). During his time at Ateneo, Len actively participated in government-funded, interdisciplinary research projects in the Philippines. Len also served as a consultant for financial risk modelling for several major local financial institutions in the Philippines.

Len graduated in 2014 a BSc in Applied Mathematics (Mathematical Finance) and a BA in Economics and from Ateneo de Manila University. He finished his Masters in Applied Mathematics (Mathematical Finance) in 2015 from the same institution.


My Qualifications

  • Master of Applied Mathematics (Major in Mathematical Finance), Ateneo de Manila University, Philippines
  • Bachelor of Science in Applied Mathematics (Major in Mathematical Finance), Ateneo de Manila University, Philippines
  • Bacheror of Arts (Major in Economics), Ateneo de Manila University, Philippines

My Awards

  • 2018-2021, 2015: Loyola Schools Scholarly Publication Awards, Ateneo de Manila University, Philippines
  • 2020: Ateneo Research Institute of Science and Technology Publication Awards, Ateneo de Manila University, Philippines
  • 2020: IMS Hannan Graduate Student Travel Award, Institute of Mathematical Sciences
  • 2018: UniSA International HDR Scholarshop and Research Training Program International Stipend, University of South Australia, Australia
  • 2018: Loyola Schools Faculty Development Grant for Graduate Studies Abroad, Ateneo de Manila University

My Research Activities

Len currently works on applications of stochastic analysis to financial and actuarial problems, namely stochastic mortality modelling, option pricing, and financial risk modelling. He also works on the development of numerical methods for solving integro-partial differential equations for option pricing under stochastic volatility and jump-diffusion dynamics and statistical methods for estimating continuous-time stochastic models.

Prior to joining UNSW, Len was part of a research collaboration between UniSA and the Defence Science and Technology Group on regression-based approaches for simulation meta-modelling.

Prior to commencing his PhD in 2018, Len also worked on several projects, funded by the Philippine Council for Industry, Energy, and Emerging Technology Research and Development (PCIEERD), on the development of interactive mobile applications to supplement Grade 7 to 10 mathematics classes in the Philippines. He was also involved in a project, funded by the Commission on Higher Education (CHED) of the Philippines, on an impact evaluation and assessment of school-based feeding programs.

View less