Len Patrick Garces

Len Patrick Garces

Lecturer in Quantitative Finance

Publications

You can also find my articles on my Google Scholar profile.

Journal Articles

  1. Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment, European Journal of Operational Research, 322(2): 693-712. (2025). [DOI, arXiv] (with Yang Shen)

  2. AffineMortality: An R package for estimation, analysis, and projection of affine mortality models, Annals of Actuarial Science, 19(1): 23-48. (2025). [DOI, SSRN] (with Francesco Ungolo, Michael Sherris, and Yuxin Zhou)

  3. Uncertainty in pricing and risk measurement of survivor contracts, Risks, 13(2): 1-26. (2025). [DOI] (with Kenrick Raymond So, Stephanie Claire Cruz, Elias Antonio Marcella, and Jeric Briones)

  4. Estimation, comparison, and projection of multi-factor affine mortality models, North American Actuarial Journal, 28(3): 570-592. (2024). [DOI, SSRN] (with Francesco Ungolo, Michael Sherris, and Yuxin Zhou)

  5. A numerical approach to pricing exchange options under stochastic volaility and jump-diffusion dynamics, Quantitative Finance, 21(12): 2025-2054. (2021) [DOI, arXiv] (with Gerald H. L. Cheang)

  6. Representation of exchange option prices under stochastic volatility jump-diffusion dynamics, Quantitative Finance, 20(2): 291-310. (2020) [DOI, arXiv] (with Gerald H. L. Cheang)

  7. On eigenvalue bounds for the finite-state birth-death process intensity matrix, Journal of Physics: Conference Series, 1593: 1-8. (2020) [DOI] (with Renzo Roel P. Tan and Kazushi Ikeda)

Peer-Reviewed Conference Papers

  1. Regression-based approaches for simulation meta-modelling in the presence of heterogeneity and correlation, Proceedings of the 24th International Congress on Modelling and Simulation (MODSIM) (2021) [DOI] (with Timofei Bogomolov and Belinda Chiera)

  2. Estimating Philippine Dealing System Treasury (PDST) reference rate yield curves using a state-space representation of the Nelson-Siegel model, 2nd International Conference on Computing, Mathematics and Statistics 2015 (2015) (with Ma. Eleanor R. Reserva)

Working Papers

  1. Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates, CEPAR Working Paper 2024/26 (2024) [SSRN] (with Yuxin Zhou, Yang Shen, Michael Sherris, and Jonathan Ziveyi)

  2. Age-dependent, multi-cohort affine mortality models with cohort correlation, CEPAR Working Paper 2023/09 (2023) [SSRN] (with Yuxin Zhou, Yang Shen, Michael Sherris, and Jonathan Ziveyi)

  3. Affine mortality models with jumps: parameter estimation and forecasting, CEPAR Working Paper 2022/12 (2022) [SSRN] (with Jovana Kolar, Francesco Ungolo, and Michael Sherris)

  4. A put-call transformation of the exchange option problem under stochastic volatility and jump-diffusion dynamics (2020) [arXiv] (with Gerald H. L. Cheang)

Other Publications (Peer-Reviewed Journal Articles)

  1. Digital simulations for grade 7 to 10 mathematics, Philippine Journal of Science, 148(4): 743-757. (2019) [DOI] (with Ma. Louise Antonette N. De Las Penas, Maria Alva Q. Aberin, Flordeliza F. Francisco, Winfer C. Tabares, Mark Anthony C. Tolentino, and Debbie Marie B. Verzosa)

  2. App-based scaffolds for writing two-column proofs, International Journal of Mathematics Education in Science and Technology, 50(5): 776-787. (2019) [DOI] (with Ma. Louise Antonette N. De Las Penas, Maria Alva Q. Aberin, and Debbie Marie B. Verzosa)

  3. App for addition and subtraction of integers, International Journal for Technology in Mathematics Education, 25(4): 21-33. (2018) (with Ma. Louise Antonette N. De Las Penas, Maria Alva Q. Aberin, and Debbie Marie B. Verzosa)

  4. Tourism and crime: Evidence from the Philippines, Southeast Asian Studies Journal, 4(3): 565-580. (2015) [DOI] (with Rosalina Palanca-Tan, Angelica Nicole C. Purisima, and Angelo Christian L. Zaratan)