Dr. Santiago Moreno

Short CV: 


Ph.D., Mathematics, University of British Columbia, 2008.

M.S., Mathematics, CINVESTAV del IPN, 2004.

Licenciatura (undergraduate studies), Mathematics, Universidad Nacional Autonoma de Mexico, 2000.


- MATH 180 (Di erential Calculus), Fall 2006 Semester, UBC Vancouver.
- MATH 184 (Di erential Calculus), Fall 2007 Semester, UBC Vancouver.
- Game Theory Seminar, Winter Semester 2009, HU-Berlin.
- Introduction to General Equilibrium Theory, Summer Semester 2010, HU-Berlin.

- MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing (with Ivar Ekeland), June 2010.

- CONACyT Fellow for the period September 2003-August 2004 (Master Studies).
- CONACyT Fellow for the period September 2006-August 2008 (PhD Studies).
- Alexander von Humboldt Foundation "Young Researcher Fellowship",  October 2009-November 2010.

- Part time racer, Bennotto Mountain bike racing team, Mexico, 1995-1997.
- Full time racer, GT Bycicles Mountain Bike Racing Team, Mexico, 1998-1999.
- Full time racer, Velo Club Lagrange, USA, 1999-2002.
- Director of Operations, Finca Santa-Veracruz, 2000-2002.


Major Research Interests: 

Optimal Derivatives Design.

Competitive games under asymmetric information (applied to financial scenarios).

Differentiability properties of convex functions.

Investment under risk constraints.

European Carbon Emissions markets.



Ekeland, I. & Moreno-Bromberg, S.: An Algorithm for Computing Solutions of Variational Problems with Global Convexity Constraints, Numerische Mathematik, to appear. (Matlab codes avaliable in the .txt files at the bottom of this page. Please open the Readme first)

Ekeland, I. & Moreno-Bromberg, S.: A Lipschitz Property of the Derivatives of Convex
Functions, Submitted to Journal of Convex Analysis (numero special pour Hedy Attouch)
Ref. JOCA0887.

Horst, U. & Moreno-Bromberg, S.: Risk Minimization and Optimal Derivative Design in a Principal Agent Game, Mathematics and Financial Economics,vol 2-1, pp. 1-27, 2008.

 Horst, U. & Moreno-Bromberg, S.:Efficiency and Equilibria in Games of Optimal Derivative Design, preprint.

Moreno-Bromberg, S., Reveillac A. & Pirvu, T., CRRA Utility Maximization under Risk
Constraints, in preparation.

Moreno-Bromberg, S. & Taschini, L., Dynamic Pollution Regulation and Technological Adoption under Emission Permits, in preparation.

Selected Presentations: 

Risk Minimization and Adverse Selection,  MITACS Mathematical Finance Seminar at the Pacific Institute for the Mathematical Sciences (PIMS) on March 22nd 2007.

Risk Transfer and Adverse Selection in Principal-Agent Models,  workshop "Mathematics and the Environment: Energy Risk, Environmental Uncertainty and Public Decision Making" that took place in the Banff International Research Station (BIRS) from May 8th-13th, 2007.

Risk Minimization and Optimal Derivative Design in a Principal Agent Game, Symposium on  ``Calculus of Variations in Physics, Geometry and Economics",  annual meeting of the Canadian Mathematical Society,  December 8th-11th, 2007.

Optimal Derivative Design, Existence of optimal Price Schedules and Numerical Methods,  Colloquium of the Mathematics Institute, UNAM, April 10th, 2008.

Risk Minimization & Variational Problems with Convexity Constraints, Mathematical Finance seminar, Technicher Universitaet Berlin, October  9th, 2008.

Solving some variational problems with global convexity constraints: a numerical method, University of Vienna, March 23rd, 2009.

Minimización de Riesgo y Diseño Óptimo de Derivados en un Juego Principal-Agente, CIMAT, Guanajuato, April 22nd, 2009.

Una Propiedad de Lipschitz de las Derivadas de Funciones Convexas Definidas en Espacios de Hilbert, UAM Iztapalapa, Mexico, April 24th, 2009.

 Derivative Design in Principal-Agent Games, Technicher Universitaet Kaiserslautern, July
7th, 2009.

Derivative Design in Multi rm-Agent Games, 2nd Princeton-Humboldt Conference, October
31st, 2009.

 Efficiency & Equilibrium in a Risk Minimization Game under Adverse Selection, Mathematical
nance thematic program, National University of Singapore, December 9th, 2009.

Efficiency & Optimality in Risk Minimization Games of Optimal Derivative Design under
Adverse Selection, McMaster University, March 10th, 2010.







Organized Workshops & Conferences: 

"Weather Derivatives and Risk" workshop, a joint event of the CRC 649, CASE and QPL, 27th-28th Jan. 2010.


Humboldt-Universitaet zu Berlin
Institut fuer Mathematik
Unter den LInden 6
10099 Berlin

e-Mail Adress: 
Lipschitz-Property.pdf160.82 KB
Numerical-Algorithm.pdf441.53 KB
Risk-Minimization-PA.pdf331.17 KB
Benchmark(Section 4.2).txt6.83 KB
RochetChoneProblem(Section 4.3).txt5.6 KB
MussaRosenNonUniform(Section 4.4).txt6.84 KB
CarlierEkelandTouziProblem(Section 4.5).txt5.48 KB
HorstMorenoProblem(Section 4.6).txt8.11 KB
HM-MultiFirm.pdf660.85 KB


d-fine: job opportunities

d-fine continuously offers job opportunities for students and university graduates, both internships and permanent positions. Please use the following Link if you are curious to learn more about working in the exciting field of quantitative finance consultancy.