Camilo Hernández

Contact: camilo [dot] hernandez [at] columbia [dot] eduOffice: Mudd 329500 West 120th StreetNew York, NY. 10027

I'm a PhD student and Cheung-Kong innovation fellow at the IEOR department at Columbia University in New York. My advisor is Dylan Possamaï. Prior to joining Columbia I attended Universidad de los Andes in Bogotá, Colombia from which I hold a M.Sc. degree in Mathematics and B.Sc. degrees in both Mathematics and Economics.

My research interests are behavioral economics, contract theory and financial mathematics. In particular theory and applications of Backward Stochastic Differential Equations, Stochastic Analysis, Stochastic Inconsistent/Optimal Control and Convex Optimization.

More information available on: CV. Google Scholar. Arxiv.

Working Papers

  • Hernández, C. Time-inconsistent non-Markovian stopping and control consistent plans.
  • Hernández, C. Possamaï, D. Zhou, C. Moral Hazard for time-inconsistent agents.
  • Hernández, C. Possamaï, D. Tangpi, L. On quadratic Volterra BSDE systems appearing in time–inconsistent control problems.

Publications, Submissions and Preprints

[4] Hernández, C. Possamaï, D. (2020). Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents. Preprint. [ArXiv].

[3] Garcia, H. Hernández, C. Junca, M. Velasco, M. (2020). Approximate super-resolution and truncated moment problems in all dimensions. Applied and Computational Harmonic Analysis. [DOI, ArXiv]

[2] Hernández, C. Junca, M. Moreno, H. (2018). A time of ruin constrained optimal dividend problem for spectrally one-sided Lèvy processes. Insurance: Mathematics and Economics. 79(5): 57-68 [DOI, ArXiv]

[1] Hernández, C. Junca, M. (2015). Optimal dividend payments problem under a time of ruin constraints: Exponential claims. Insurance Mathematics and Economics. 65(15): 136-142. [DOI, ArXiv]

Recent Talks

  • Berkeley–Columbia Meeting in Engineering and Statistics. Berkeley, USA. 2020
  • Eastern Conference in Mathematical Finance (ECMF). Boston, USA. October, 2019.