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.
|2019|| 'Higher-Order Tail Moments in Asset-Pricing Theory'
Juan C. Arismendi Zambrano (2019) 'Higher-Order Tail Moments in Asset-Pricing Theory' In: Sabri Boubaker and Duc Khuong Nguyen (eds). Handbook of Global Financial Markets. Singapore: World Scientific. [DOI] [Details]
Peer Reviewed Journals
|2017|| 'Multivariate elliptical truncated moments'
Arismendi, JC;Broda, S (2017) 'Multivariate elliptical truncated moments'. Journal of Multivariate Analysis, 157 :29-44 [DOI] [full-text] [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] [full-text] [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] [full-text] [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] [full-text] [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] [full-text] [Details]
|2013|| 'Multivariate truncated moments'
Arismendi, JC (2013) 'Multivariate truncated moments'. Journal of Multivariate Analysis, 117 :41-75 [DOI] [full-text] [Details]
Honours and Awards
|1994||GALILEO - Gran Mariscal de Ayacucho Scholarship||Gran Mariscal de Ayacucho|
|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 /|
|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|
|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|
|Investment Bank (Wikistrat Consulting)||
Senior Analyst member of a crowdsourced consultancy team structured with people from different proles, backgrounds, regions, and levels of expertise, for running `strategic simulations' and analysing `scenarios' that will shape the future of the human kind.
FN205 - Corporate Finance, First Term
FN314 - International Banking, Second Term
Modules Taught (Previous Universities):
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.