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Rafael de Santiago
  • Rafael de Santiago

  • Professor of Managerial Decision Sciences

  • Ph.D. in Mathematics, University of California, Irvine
    Ph.D. in Economics, University of Valladolid, Spain
    M.Sc. in Mathematics, University of California, San Diego

Areas of Interest

    * Derivative Pricing with Stochastic Volatility
    * Risk Management
    * Decision Making under Uncertainty
    * History of Economic Thought

Rafael is Professor and Department Chair of the Managerial Decision Sciences Department at IESE Business School. He has been Visiting Professor at the University of California, San Diego, and at the University of Limerick, Ireland. Until 1997 he held a joint appointment in Economic Theory and History of Economic Thought at the University of Valladolid, Spain.

Rafael holds a Ph.D. in Mathematics from the University of California, Irvine, a Ph.D. in Economics from the University of Valladolid, and a M.Sc. in Pure Mathematics from the University of California, San Diego.

In his current research he combines stochastic differential equations with perturbation theory to calibrate prices of derivatives when they are close to maturity. In his 2008 book, Derivatives Markets with Stochastic Volatility, he shows how to include several sources of stochastic volatility in the Black-Scholes model, interest-rate models and Value-at-Risk models. He has published scientific articles in Advances in Econometrics, The Journal of Investing and other journals.

His interest in the foundations of Economic Theory led him for several years to the study of the History of Economic Thought. In 1998 he published Utilidad y Bienestar, a book in which he traces, together with co-author José Miguel Sánchez Molinero, the history of the main ideas regarding Utility Theory and Social Welfare.

Besides his academic activity, he has done consulting projects in the areas of risk management and optimization models for several companies (like Midland Bank, Banca Catalana, NetQuest, In20, and IESE).