Dr Len Patrick Garces
Senior Research Fellow (ARC)

Dr Len Patrick Garces

  • Doctor of Philosophy, University of South Australia
  • Master of Applied Mathematics (Major in Mathematical Finance), Ateneo de Manila University, Philippines
  • Bachelor of Science in Applied Mathematics (Major in Mathematical Finance), Ateneo de Manila University, Philippines
  • Bacheror of Arts (Major in Economics), Ateneo de Manila University, Philippines
Business School
CEPAR

Len Patrick Garces is a Senior Research Associate at the ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Business School. His current research work is on continuous-time stochastic mortality models and their applications to actuarial valuation and the design and valuation of retirement income products.

More broadly, his research interests lie within the field of financial and actuarial mathematics, primarily on the applications of probability theory and stochastic analysis to tackle financial and actuarial problems (e.g. financial or insurance risk modelling and management, asset price modelling, term structure modelling, pricing and hedging financial derivatives) and the development of numerical and statistical methods to solve these problems.

Prior to commencing at UNSW, Len was a Research Assistant and held various casual teaching positions at the University of South Australia and an Instructor at the Department of Mathematics of Ateneo de Manila University, Philippines. During his time at Ateneo, Len actively participated in government-funded, interdisciplinary research projects in the Philippines. He also served as a consultant on financial risk modelling for several major local financial institutions in the Philippines.

Len obtained his PhD from the University of South Australia in 2021. His PhD research focused on the use of stochastic volatility and jump-diffusion models and formulating correspoding numerical methods for option pricing. Len graduated in 2014 a BSc in Applied Mathematics (Mathematical Finance) and a BA in Economics and from Ateneo de Manila University. He obtained his Masters in Applied Mathematics (Mathematical Finance) in 2015 from the same institution.

Location
223 Anzac Parade (Building L5), Level 3, Room E3Q8B
  • Journal articles | 2021
    Garces LPDM; Cheang GHL, 2021, 'A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics', Quantitative Finance, vol. 21, pp. 2025 - 2054, http://dx.doi.org/10.1080/14697688.2021.1926534
    Journal articles | 2020
    Cheang GHL; Garces LPDM, 2020, 'Representation of exchange option prices under stochastic volatility jump-diffusion dynamics', Quantitative Finance, vol. 20, pp. 291 - 310, http://dx.doi.org/10.1080/14697688.2019.1655785
    Journal articles | 2019
    Verzosa DMB; De Las Peñas MLAN; Aberin MAQ; Garces LPDM, 2019, 'App-based scaffolds for writing two-column proofs', International Journal of Mathematical Education in Science and Technology, vol. 50, pp. 766 - 778, http://dx.doi.org/10.1080/0020739X.2018.1500654
    Journal articles | 2019
    de las Peñas MLAN; Verzosa DMB; Aberin MAQ; Garces LPDM; Francisco FF; Bautista EP; Tolentino MAC; Tabares WC, 2019, 'Digital simulations for grade 7 to 10 mathematics', Philippine Journal of Science, vol. 148, pp. 735 - 749
    Journal articles | 2018
    Verzosa DMB; De Las Peñas MLAN; Aberin MAQ; Garces LPDM, 2018, 'App for addition and subtraction of integers', International Journal for Technology in Mathematics Education, vol. 25, pp. 21 - 33, http://dx.doi.org/10.1564/tme_v25.4.02
    Journal articles | 2015
    Palanca-Tan R; Garces LPDM; Purisima ANC; Zaratan ACL, 2015, 'Tourism and crime: Evidence from the Philippines', Southeast Asian Studies, vol. 4, pp. 565 - 580
  • Working Papers | 2020
    Garces LPDM; Cheang GHL, 2020, A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics, http://dx.doi.org, http://arxiv.org/abs/2002.10194v1
  • Conference Papers | 2021
    Garces LP; Bogomolov T; Chiera B, 2021, 'Regression-based approaches for simulation meta-modelling in the presence of heterogeneity and correlation', in Vervoort RW; Voinov AA; Evans JP; Marshall L (eds.), Modelling and Simulation Society of Australia and New Zealand, Sydney, NSW, pp. 827 - 833, presented at MODSIM2021, 24th International Congress on Modelling and Simulation, Sydney, NSW, 05 December 2021 - 10 December 2021, http://dx.doi.org/10.36334/modsim.2021.M5.garces
    Conference Papers | 2020
    Tan RRP; Ikeda K; Garces LPDM, 2020, 'On eigenvalue bounds for the finite-state birth-death process intensity matrix', in Journal of Physics: Conference Series, http://dx.doi.org/10.1088/1742-6596/1593/1/012005

  • 2018-2021, 2015: Loyola Schools Scholarly Publication Awards, Ateneo de Manila University, Philippines
  • 2020: Ateneo Research Institute of Science and Technology Publication Awards, Ateneo de Manila University, Philippines
  • 2020: IMS Hannan Graduate Student Travel Award, Institute of Mathematical Sciences
  • 2018: UniSA International HDR Scholarshop and Research Training Program International Stipend, University of South Australia, Australia
  • 2018: Loyola Schools Faculty Development Grant for Graduate Studies Abroad, Ateneo de Manila University

Len currently works on applications of stochastic analysis to financial and actuarial problems, namely stochastic mortality modelling, option pricing, and financial risk modelling. In particular, he is investigating the theory and estimation of affine stochastic mortality models and their applications to actuarial valuation.

His PhD thesis is on option pricing under stochastic volatility and jump-diffusion dynamics and the development of numerical methods for solving the associated pricing integro-partial differential equations.

Prior to joining UNSW, Len was part of a research collaboration between UniSA and the Defence Science and Technology Group on regression-based approaches for simulation meta-modelling.

Prior to commencing his PhD in 2018, Len also worked on several projects, funded by the Philippine Council for Industry, Energy, and Emerging Technology Research and Development (PCIEERD), on the development of interactive mobile applications to supplement Grade 7 to 10 mathematics classes in the Philippines. He was also involved in a project, funded by the Commission on Higher Education (CHED) of the Philippines, on an impact evaluation and assessment of school-based feeding programs.