My main research interests are in the area of Backward Stochastic Differential Equations (BSDEs), probabilistic numerical methods and applications, particularly in financial mathematics.
Some of my contributions include a study of the solution of BSDEs with coefficients or constraints depending on the probability law of the solution (McKean Vlasov BSDEs and mean-reflected BSDEs respectively), the error expansion of the cubature approximation of BSDEs, and its application in the calculation of some financial reserves for Central Counterparties. I have also studied the asymptotic approximation of two-scaled ergodic systems.
I am currently Lecturer at the Department of Mathematics at UCL. Previously I held a research associate position at University of Nice Sophia Antipolis and UCL. Before starting my academic life, I worked in risk management at FNG.
I completed my undergraduate education in mathematics and in engineering from Universidad de los Andes in Colombia, where I was awarded a Magna cum Laude. An Erasmus Mundus scholar, I obtained my MSc in applied mathematics from University Nice Sophia Antipolis and a Laurea Specialistica from Universita degli Studi dell’Aquila. I completed my PhD studies in applied mathematics at University Nice Sophia Antipolis working under the supervision of François Delarue.
- e-mail: camilo [dot] garcia [ hosted at ] ucl.ac.uk
- My UCL IRIS profile
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