Harold A. Moreno-Franco
- Assistant Professor:Faculty of Economic Sciences / Department of Statistics and Data Analysis
- Senior Research Fellow:Laboratory of Stochastic Analysis and its Applications
- Harold A. Moreno-Franco has been at HSE University since 2019.
Education and Degrees
- 2015
PhD
Center for Research in Mathematics CIMAT - 2010
Master's in Probability Theory and Statistics
Center for Research in Mathematics CIMAT - 2007
Bachelor's in Mathematics
Columbia University
Courses (2023/2024)
- Actuarial Сalculus (Master’s programme; Faculty of Economic Sciences; 1 year, 1-3 module)Eng
- Past Courses
Courses (2022/2023)
- Actuarial Сalculus (Master’s programme; Faculty of Economic Sciences; 1 year, 1-3 module)Eng
- Actuarial Сalculus (Mago-Lego; 1-3 module)Eng
Courses (2021/2022)
Courses (2020/2021)
- Actuarial Сalculus (Master’s programme; Faculty of Economic Sciences; 1 year, 3, 4 module)Eng
- Introduction to Stochastic Differential Equations and Numerical Probability (Master’s programme; Faculty of Economic Sciences; 2 year, 1, 2 module)Eng
- Research Project Seminar (Optional course (faculty); Faculty of Economic Sciences; 1-3 module)Rus
Courses (2019/2020)
Publications13
- Article Kelbert M., Moreno-Franco H. A. A mixed singular/switching control problem with terminal cost for modulated diffusion processes // Nonlinear Analysis: Hybrid Systems. 2024. Vol. 51. Article 101439. doi
- Preprint Морено Ф. Г., Pérez J. On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs / Cornell University. Серия arXiv "math". 2024. (in press)
- Preprint Junca M., Moreno-Franco H. A., Pérez J. An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward / Cornell University. Series arXiv "math". 2023. (in press)
- Article Mata D., Moreno-Franco H. A., Noba K., Pérez J. On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes // Nonlinear Analysis: Hybrid Systems. 2023. Vol. 48. Article 101332. doi
- Preprint Kelbert M., Moreno-Franco H. A., Pogorelov N. P. Optimal Risk Policies and Periodic Dividend Strategies for an Insurance Company / Cornell University. Series arXiv "math". 2023. (in press)
- Article Kelbert M., Moreno-Franco H. A. ON A MIXED SINGULAR/SWITCHING CONTROL PROBLEM WITH MULTIPLE REGIMES // Advances in Applied Probability. 2022. Vol. 54. No. 3. P. 743-782. doi
- Article Escobar-Anel M., Moreno-Franco H. A. Dynamic portfolio strategies under a fully correlated jump-diffusion process // Annals of Finance. 2019. Vol. 15. No. 3. P. 421-453. doi
- Article Kelbert M., Moreno-Franco H. A. HJB equations with gradient constraint associated with controlled jump-diffusion processes // SIAM Journal on Control and Optimization. 2019. Vol. 57. No. 3. P. 2185-2213. doi
- Article Junca M., Harold A. Moreno-Franco, Pérez J. Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint // Risks. 2019. Vol. 7. No. 1. Article 13. doi
- Article Junca M., Moreno-Franco H. A., Pérez J., Yamazaki K. Optimality of refraction strategies for a constrained dividend problem // Advances in Applied Probability. 2019. Vol. 51. No. 3. P. 633-666. doi
- Article Hernández-Hernández D., Moreno-Franco H. A., Pérez J. Periodic strategies in optimal execution with multiplicative price impact // Mathematical Finance. 2019. Vol. 29. No. 4. P. 1039-1065. doi
- Article Hernández C., Junca M., Moreno-Franco H. A. A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes // Insurance: Mathematics and Economics. 2018. Vol. 79. P. 57-68. doi
- Article Moreno-Franco H. A. Solution to HJB equations with an elliptic integro-differential operator and gradient constraint // Applied Mathematics and Optimization. 2018. Vol. 78. No. 1. P. 25-60. doi
Employment history
2019 Aug. National Research University Higher School of Economics (HSE). Department of Statistics and Data Science. Assistant professor.
2018 July–2019 Aug. Universidad del Norte. Departamento de Matemáticas y Estadística. Teacher and researcher.
2016 Sept.–2018 Sept. National Research University Higher School of Economics (HSE). Laboratory of Stochastic Analysis and its Applications. Postdoctoral stay.
2016 July–2016 Aug. CIMAT. Probability and Statistic Department. Visiting researcher.
2016 Feb.–2016 June Universidad de Guanajuato. Teacher of Elementary Differential Calculus.
2015 Aug.–2015 Dec. Matemorfosis-CIMAT. Basic math popularizer.
2015 Feb.–2015 Jun. CIMAT. Teaching Assistant of the Advanced Probability Theory Class.
2014 Aug.–2014 Dec. CIMAT. Teaching Assistant of the Finances Class.
2013 April–2013 July University of Texas at Austin. Academic stay.
2012 Aug.–2012 Dec. CIMAT. Teaching Assistant of the Markov Chains Class.
2012 Feb.– 2012 June CIMAT. Teaching Assistant of the Markov Processes Class.
2010 Aug.–2010 Dec. CIMAT. Teaching Assistant of the Markov Chains Class.
2006 Dec.–2007 Jan. Instituto Colombiano para el Fomento de la Educación Superior (ICFES). Examiner of TIMMS tests.
2006 Sept.–2006 Dec. Universidad Nacional de Colombia - ICFES. Examiner of SERCE tests and SABER tests.
2006 March–2006 June Universidad Nacional de Colombia - ICFES. Examiner of TIMMS tests.
2005 Aug.–2005 Dec. Universidad Nacional de Colombia - Programa RED. Teaching Assistant in programa RED.