Center for Advanced Research in Finance and Banking

Center for Advanced Research in Finance and Banking - CARFIB
................................................................................................................

Navigation Menu
..............................................................

Virgil DAMIAN

Research Interests

Virgil DAMIAN is Senior Lecturer at the department Money and Banking, faculty of Finance and Banking, Bucharest University of Economic Studies. He teaches courses and/or seminars on Financial Engineering, Asset Pricing, Derivatives, Fixed Income Pricing, Econometrics, Financial Modelling. He obtained a PhD in stochastic optimal control with differential geometry in 2013 from the University Politehnica of Bucharest, following a MSc in Stochastics with honors from the faculty of Mathematics, University of Bucharest. Currently he is PhD Student in finance at Bucharest University of Economic Studies. Virgil serves, also, in several consulting roles in the financial industry.
Virgil published scientific works in journals of mathematics and social sciences, with H-index 2 on Researcher ID, and co-authored a book for finance (with Professor Bogdan Negrea). He is referee of the Review of Finance and Banking. Damian started his advanced studies in Stochastics in 2008, with Professor Gabriela Licea and Professor Constantin Tudor - University of Bucharest, on stochastic models for financial markets. Under the guidance of Professor Constantin Udriste (University Politehnica of Bucharest), Virgil started in 2008 the research on differential geometry methods in stochastic processes and - further - in stochastic control during his PhD programme. Thus, introduction of variational and adjoint systems, from the perspective of differential geometry, made possible a nontrivial extension of the classical stochastic control theory to the multi-parametric one, applying this to stochastic models in economics and finance. It should be pointed out that only a few papers have been devoted to a systematic study of multiparametric stochastic optimal control problems. In 2013, under the guidance of Professor Bogdan Negrea, Virgil started a new PhD programme, under the aegis of Bucharest University of Economic Studies, aiming to adapt the new mathematical theory, constructed in the previous thesis, to applications in optimal trade execution.

Keywords

Quantitative Analysis, Stochastic Models for Financial Engineering, Pricing and Hedging of Advanced Financial Payoffs, Risk Management, Optimal Trade Execution.

Selected publications

1. Damian, V. (2015) “Modelling optimal execution strategies for Algorithmic trading”, Theoretical and Applied Economics, XXII (4), pp. 99-104.

2. Damian, V. and Vârsan, C. (2012) “Stochastic integral equations associated with Stratonovich curveline integral”, Mathematical Reports, 64 (4), pp. 325-332.

3. Udriste, C., Damian, V., Matei, L. and Tevy, I. “Multitime differentiable stochastic processes, diffusion PDEs, Tzitzeica hypersurfaces”, U.P.B. Sci. Bull., Series A, 74 (1), pp. 3-10. URL:

4. Udriste, C. and Damian, V. (2011) “Simplified single-time stochastic maximum principle”, Balkan Journal of Geometry and Its Applications, 16 (2), pp. 155-173.

Home
News
AEFR - Working Paper Series
Research Projects
Publications
Members

..............................................................