Luis J. Roman
Adjunct Professor in the Brandeis International Business School
Investment risk management, valuation and risk models, financial mathematics, fixed income, stochastic differential equations and numerical methods.
- University of Minnesota, Minneapolis-St. Paul, Ph.D.
- University of Chicago, M.S.
FIN 280aFinancial Risk Management
Luis Roman is a Vice President and a member of the Enterprise Risk Management team within State Street Global Advisors. In this role, Luis is responsible for investment risk management across strategies within the firms’ Fixed Income group.
Prior to joining SSgA, Luis worked as a Quantitative Analyst at Putnam Investments providing quantitative tools of risk management and valuation to emerging markets, structured products, and municipal markets teams. Before that, he spent six years holding professorship positions in the departments of mathematics at the University of California, in Irvine, California, and at Worcester Polytechnic Institute, in Worcester, Massachusetts. During his time in academia he co-authored research papers in financial mathematics, and stochastic differential equations, and taught undergraduate and graduate courses in financial mathematics, probability, statistics, and numerical methods.
- Roman, Luis J., and Marcus Sarkis. "Stochastic Galerkin Method for Elliptic SPDEs: A White Noise Approach." Discrete and Continuous Dynamical Systems - Series B 6. 4 (2006): 941-955.
- Kathryn Wilkens, Carlos J. Morales, and Luis Roman. "Maximum Drawdown Distributions with Volatility Persistency." Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation. First ed. vol. 1 Ed. Wiley. Hoboken: John Wiley & Sons, 2005. 245-256.
- Roman, Luis J.. A Short Introduction to Numerical Analysis of Stochastic Differential Equations. Rio de Janeiro, Brazil Instituto Nacional de Matematica Pura e Aplicada - IMPA: 2005.
- Roman, Luis J., Xinsheng Zhang and Weian Zheng. "Convergence in Homogenization of Parabolic PDEs." Mathematical Physics, Analysis and Geometry 6. 2 (2003): 113-124.
Luis J. Roman
Office:Sachar International Center, 11B