Len Patrick Garces is a Senior Research Associate at the ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Business School, where he investigates continuous-time stochastic mortality models and their applications to actuarial valuation.
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.
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.