Andrea Meireles Rodrigues

Profile

Biography

I graduated in Mathematics from the University of Lisbon, and received a Master’s degree in Financial Mathematics jointly from the University of Lisbon and ISCTE - University Institute of Lisbon. Following a year as research at the Centre for Mathematics and Fundamental Applications (CMAF) of the University of Lisbon with a grant from the Portuguese Foundation for Science and Technology (FCT), I moved to the University of Edinburgh to pursue my doctoral studies in the field of Probability and Stochastic Analysis applied to Finance. Prior to joining the University of York, I held a lectureship at the School of Mathematical Sciences at Dublin City University.

Research

Overview

My research is primarily on applications of probability theory and stochastic calculus to finance. More specifically, my interests have included the pricing of financial derivatives, as well as the development of market models and study of their main properties (e.g., no-arbitrage and completeness). In recent years, my focus has been on portfolio optimisation problems, with special emphasis on non-concave utility functions, reference-dependent preferences, and model uncertainty.

Research group(s)

Mathematical Finance and Stochastic Analysis Research Group

Teaching

Undergraduate

  • C++ for Finance
  • Maths Finance for Act Science

Postgraduate

  • Modelling of Bonds, Term Structure & Interest Rate Derivatives

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Contact details

Dr Andrea Meireles Rodrigues
G/N/166

Tel: +44 1904 32 4598