Dr Juan Arismendi Zambrano

Economics, Finance and Accounting, Hamilton Institute

Lecturer

Rhetoric House
55
(474) 7267

Biography

Dr. Juan Arismendi Zambrano is a Lecturer (Assistant Professor) of the Maynooth University, National University of Ireland. He holds an affiliation as a Visiting Research Fellow of the ICMA Centre, University of Reading. In the past,  he had positions as Assistant Professor and Head of the Economics, Accountancy, and Finance Department at the Business School of the University of Monterrey (UDEM), Senior Visiting Professor of the Technological Institute of Monterrey (ITESM) - Leon Campus, Assistant Professor of the Economics Department at the Federal University of Bahia (UFBA), Brazil. He served as Research Fellow of the University of Brasilia (UnB) under the supervision of Prof. Herbert Kimura.

He holds a DPhil in Finance (Quantitative Finance) from the ICMA Centre, Henley Business School (AACSB,
AMBA, EQUIS) in the University of Reading, UK. He is certified as PRM (Professional Risk Manager - PRMIA), FRM (Financial Risk Manager-GARP), CQF (Certificate in Quantitative Finance - 7city - Wilmott), Series 65 Investment Advisor Law Examination, and as Investment Advisor by the Certificate of Investment Management from the Chartered Institute of Securities and Investment (Unit 6 FSA Principles of Financial Regulation + Unit 5 Investment Management) from the United Kingdom.

Juan has published in Finance, Numerical Algebra, Statistics, and Physics journals such as: ‘Journal of Banking and Finance’, ‘International Review of Financial Analysis’, ‘Applied Mathematical Finance’, ‘Numerical Linear Algebra with Applications’, ‘Journal of Multivariate Analysis’, and ‘Chaos Solitons & Fractals’, and his work has been accepted for presentation in academic conferences, such as the European Finance Association annual meeting, Financial Management Association annual meeting, and the World Finance Conference.

He had few positions in the financial industry: He has been Quantitative Strategist at BancTrust & Co. where he developed High Beta Fixed-Income trading strategies for the research team (Miami, US - Caracas, Venezuela), Vice-president and partner of Clever Financial an investment advisors' and wealth management's company based in Caracas, Venezuela (2003 - 2008), where he developed investment portfolios that ranged from low risk Agencies - Treasuries to Emerging Markets Bonds and High Yield Bonds.

Research Interests

Finance: theoretical and empirical asset pricing, risk management. Quantitative finance: empirical applications of higher-order and tail moments theory, multi-asset option pricing, numerical methods for complex option pricing. Data Science: automated trading systems and applications in finance and economics.

Peer Reviewed Journals

  Year Publication
2017 'Multivariate elliptical truncated moments'
Arismendi, JC;Broda, S (2017) 'Multivariate elliptical truncated moments'. Journal of Multivariate Analysis, 157 :29-44 [DOI] [IR Link] [Details]
2016 'Monte Carlo approximate tensor moment simulations'
Arismendi, JC;Kimura, H (2016) 'Monte Carlo approximate tensor moment simulations'. Numerical Linear Algebra with Applications, 23 :825-847 [DOI] [IR Link] [Details]
2016 'A Monte Carlo multi-asset option pricing approximation for general stochastic processes'
Arismendi, J;De Genaro, A (2016) 'A Monte Carlo multi-asset option pricing approximation for general stochastic processes'. Chaos, Solitons and Fractals, 88 :75-99 [DOI] [IR Link] [Details]
2016 'Validation of default probability models: A stress testing approach'
Tsukahara, FY;Kimura, H;Sobreiro, VA;Zambrano, JCA (2016) 'Validation of default probability models: A stress testing approach'. International Review of Financial Analysis, 47 :70-85 [DOI] [IR Link] [Details]
2016 'Seasonal Stochastic Volatility: Implications for the pricing of commodity options'
Arismendi, JC;Back, J;Prokopczuk, M;Paschke, R;Rudolf, M (2016) 'Seasonal Stochastic Volatility: Implications for the pricing of commodity options'. Journal of Banking and Finance, 66 :53-65 [DOI] [Details]
2016 'The profitability of moving average trading rules in BRICS and emerging stock markets'
Sobreiro, VA;da Costa, TRCC;Nazario, RTF;Silva, JLE;Moreira, EA;Lima, MC;Kimura, H;Zambrano, JCA (2016) 'The profitability of moving average trading rules in BRICS and emerging stock markets'. North American Journal of Economics and Finance, 38 :86-101 [DOI] [IR Link] [Details]
2014 'A Moment Based Analytic Approximation of the Risk-neutral Density of American Options'
Arismendi, Juan C and Prokopczuk, Marcel (2014) 'A Moment Based Analytic Approximation of the Risk-neutral Density of American Options'. Applied Mathematical Finance (Forthcoming), [IR Link] [Details]
2013 'Multivariate truncated moments'
Arismendi, JC (2013) 'Multivariate truncated moments'. Journal of Multivariate Analysis, 117 :41-75 [DOI] [IR Link] [Details]

Honours and Awards

  Year Title Awarding Body
1994 GALILEO - Gran Mariscal de Ayacucho Scholarship Gran Mariscal de Ayacucho

Professional Associations

  Association Function From / To
Global Association of Risk Professionals Member 20-JAN-09 /
Professional Risk Manager Association (PRMIA) Member 11-JAN-08 /
FINRA Series 65 Inestment Advisor 18-NOV-08 /
The Chartered Institute for Securities & Investment Member 22-DEC-08 /

Employment

  Employer Position From / To
University of Monterrey (UDEM) Head of the Department of Economics, Finance, and Accounting 01-DEC-16 / 31-MAY-18
Technological Institute of Superior Studies of Monterrey (ITESM) Senior Visiting Professor 17-JUL-16 / 01-DEC-16
University of Brasilia Postdoc Research Fellow 01-NOV-13 / 31-OCT-15
Federal University of Bahia (UFBA) Assistant Professor 19-AUG-15 / 15-JUL-16
University of Brasilia, Centre for Technological Development Research Fellow 20-FEB-14 / 31-MAR-15
Banctrust & Co. Quantitative Strategist 01-SEP-12 / 31-DEC-12
University of Reading, ICMA Centre, Henley Business School Teaching Assistant 25-SEP-09 / 31-AUG-12
University Simon Bolivar, Department of Computing and Information Technology Academic Assistant 01-APR-06 / 31-MAR-07
Clever Financial Vice-president of Investment 01-DEC-03 / 31-DEC-08
University Simon Bolivar, Department of Scientific Computing and Statistics Academic Assistant 01-APR-03 / 31-MAR-05

Education

  Year Institution Qualification Subject
2013 University of Reading DPhil Finance
2007 Institute of Superior Studies for Administration Studies (IESA - AACSB, AMBA, Equis) Msc Finance
2006 University Simon Bolivar Msc Computer Science
2001 University Simon Bolivar Bsc Computer Engineering

Languages

  Language Reading Writing Speaking
English Fluent Fluent Fluent
Portuguese Fluent Fluent Fluent
Spanish Fluent Fluent Fluent
French Basic None None

Consultancy

  Client Description
Investment Bank (Wikistrat Consulting)
Senior Analyst member of a crowdsourced consultancy team structured with people from different pro les, backgrounds, regions, and levels of expertise, for running `strategic simulations' and analysing `scenarios' that will shape the future of the human kind.

Reviews

  Journal Role
Quantitative Finance Reviewer

Teaching Interests


FN205 - Corporate Finance, First Term
FN314 - International Banking, Second Term


Modules Taught (Previous Universities):

Lecturer: Economics: Econometrics III (time series analysis), Quantitative Methods for Economists (Input-Output Model, Cost-Benefit Analysis), Introduction to Economics. Finance: Financial Econometrics I, Fixed Income and Structured Products, Risk Management, Financial Markets, and Programming for Finance Degrees.

Research Assistant: Finance: Derivatives Securities, Derivatives Pricing, Numerical Methods for Financial Engineers, C++ for Financial Engineers. Statistics and Probability: Probability for Engineers, Statistics for Engineers, Numerical Methods for Engineers, Numerical Methods for Mathematicians, Programming Languages (Fortran, C++) for Mathematicians. Computer Science: Algorithms Theory, Discrete Mathematics, Combinatorics.