Madrid, Community of Madrid, Spain
• Van der Waals-like gas interpretation of axisymmetric black holes. • Geometric interpretation of thermodynamic variables in black hole horizons. • Application of the Geroch-Held-Penrose formalism to black hole thermodynamics and extended theories. • Characterization of static vacuum solutions in f(R) gravity and their geometric properties.
• Developed and calibrated advanced stochastic and rough volatility models (Heston, Rough Heston, Dynamic SABR) for European equity options, leveraging Fourier-based pricing methods and complex-valued numerical integration. • Contributed to the pricing and risk analysis of inflation-linked products, including Eurozone inflation-linked bonds and OTC inflation swaps.