Status:
Personal website:
+44 1865 615301
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
Stochastic control with delay, latency in electronic markets, algorithmic trading, statistical arbitrage, market making.
Teaching:
I am a tutor/TA for various courses in the MSc Mathematical and Computational Finance, the part-time MSc in Mathematical Finance, and part-C. Examples include:
Tutor:
- Algorithmic trading
- Asset pricing
- Stochastic Control
Teaching assistant:
- Stochastic control
- Stochastic Differential Equations
- Market micro-structure
- Algorithmic trading
- Asset pricing
- Mathematical Models of Financial Derivatives
I was a tutor for Queen's College (2018-2019) in "Probability Prelims", and "Statistics and Data Analysis".
Currently, I am a tutor for Oriel College (2019-present) in "Probability Prelims", "Probability", "Statistics", "Statistics and Data Analysis", "Integration", and "Integral Transforms".
Prizes, awards, and scholarships:
Prizes and Awards
- MSc Financial Mathematics Prize: Best overall performance student of the MSc at King's College London
- Gabino Barreda Medal: Highest recognition to academic excellence by Universidad Nacional Autónoma de Mexico (UNAM)
Scholarships
- CONACyT Scholarship for doctoral studies 2018-20 (University of Oxford )
- Mathematical Finance scholarship (University of Oxford - Mathematical Institute)
- CONACyT Scholarship for postgraduate studies 2016 (King's College London)
Major / recent publications:
Cartea, Á., Sánchez-Betancourt, L., 2020. The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. Forthcoming: SIAM Journal on Financial Mathematics.
https://ssrn.com/abstract=3190961
Cartea, Á., Perez Aribas, I., Sánchez-Betancourt, L., 2020. Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning.
https://ssrn.com/abstract=3562251
Hughston, L. P., Sánchez-Betancourt, L., 2020. Pricing with Variance Gamma Information. Risks, 8 (4), 105:1-22.
https://arxiv.org/abs/2003.07967
Cartea, Á., Jaimungal, S., Sánchez-Betancourt, L., 2019. Latency and Liquidity Risk.
https://ssrn.com/abstract=3433739
Bouzianis, G., Hughston, L. P., Jaimungal, S., Sánchez-Betancourt, L., 2019. Lévy-Ito Models in Finance.
https://arxiv.org/abs/1907.08499