Rafael
de Santiago

Professor of Managerial Decision Sciences

• Ph.D. in Mathematics, University of California
• Ph.D. in Economics, University of Valladolid
• M.Sc. in Mathematics, University of California

Rafael is a Professor in 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.

Areas of interest

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

Publications

Journal Articles (refereed)

ALÒS, E., DE SANTIAGO, R., VIVES, J. (2015). Calibration of Stochastic Volatility Models Via Second Order Approximation: The Heston Case. International Journal of Theoretical and Applied Finance, 18 (6), 1 - 31. doi:10.1142/S0219024915500363.
ANDREU I CIVIT, R., RIVEROLA, J., ROSANAS, J. M., DE SANTIAGO, R. (2014). Capability Building and Learning: An Emergent Behavior Approach. International Journal of Management and Economics, 44 (1), 7 - 38. doi:10.1515/ijme-2015-0007.
DE SANTIAGO, R., ESTRADA, J. (2013). Geometric Mean Maximization. Expected, Observed, and Simulated Performance. The Journal of Investing, 22 (2), 106 - 119. doi:10.3905/joi.2013.22.2.106.
DE SANTIAGO, R., FOUQUE, J., SOLNA, K. (2008). Bond Markets with Stochastic Volatility. Advances in Econometrics, 22, 215 - 243. doi:10.1016/S0731-9053(08)22009-8.
DE SANTIAGO, R. (1995). El contrato de trabajo a largo plazo como obligación legal. Los efectos de la flexibilización de los contratos laborales. Ekonomiaz (31-32), 310 - 319.
DE SANTIAGO, R. (1995). El "Ensayo" de Malthus en perspectiva. Investigaciones Históricas (15), 241 - 250.
DE SANTIAGO, R., GARCÍA AUSÍN, J. A. (1994). ¿Es posible ganar a "Toma-y-Daca"? Anales de Estudios Económicos y Empresariales (9), 159 - 184.
DE SANTIAGO, R. (1993). Teoría clásica y estudios empíricos recientes sobre flujos migratorios. Anales de Estudios Económicos y Empresariales (8), 297 - 330.
DE SANTIAGO, R. (1991). Acerca del concepto de ciencia y de teoría. Qurriculum (1-2), 121 - 130.

Working Papers

ELISA, A., DE SANTIAGO, R., VIVES, J. (2012). Calibration of stochastic volatility models via second order approximation (WP-1094-E).
ANDREU I CIVIT, R., RIVEROLA, J., ROSANAS, J. M., DE SANTIAGO, R. (2012). Capability Building and Learning. An Emergent Behavior Approach (DI-952-E).

Articles in other publications

DE SANTIAGO, R. (2017). Decision Tools to Keep You on the Right Path: Improve Your Odds of Success (Portuguese version). IESE Insight, pp. 15 - 22.
DE SANTIAGO, R. (2013). Herramientas para tomar mejores decisiones. Aumente sus probabilidades de éxito. IESE Insight (19), pp. 15 - 22.
DE SANTIAGO, R. (2013). Decision Tools to Keep You on the Right Path. Improve Your Odds of Success. IESE Insight (19), pp. 15 - 22.

Books

DE SANTIAGO, R. (2008). Derivatives Markets with Stochastic Volatility. Saarbrücken: VDM Verlag.
SÁNCHEZ MOLINERO, J. M., DE SANTIAGO, R. (1998). Utilidad y bienestar. una historia de las ideas sobre utilidad y bienestar social. Madrid: Editorial Síntesis.
DE SANTIAGO, R. (1994). Migraciones, salarios y desempleo. un modelo para la economía española. Valladolid (España): Secretariado de Publicaciones de la Universidad de Valladolid.

Book Chapters

ARIÑO, M. A., DE SANTIAGO, R., SEAGER, P. (2017). Decision Analysis: The "Science" of Predicting Your Next Hit. In Mike Rosenberg and Philip H. Seager (Ed.), Managing Media Businesses: A Game Plan to Navigate Disruption and Uncertainty (pp. 101 - 112).
ANDREU I CIVIT, R., RIVEROLA, J., ROSANAS, J. M., DE SANTIAGO, R. (2012). Firm evolution and learning in a market economy with bounded rationality. In Joan Enric Ricart Costa, Josep Maria Rosanas Marti? (Eds.), Towards a New Theory of the Firm: Humanizing the Firm and the Management Profession (pp. 361 - 400). Bilbao: Fundación BBVA.

Cases

DE SANTIAGO, R. (2020). WoKou Robotics. IESE, AD-372-E.
DE SANTIAGO, R. (2019). DJ World Conference. IESE, AD-368-E.
DE SANTIAGO, R. (2016). Netscape: Simulation Techniques for Company Valuation. IESE, AD-351-E.
DE SANTIAGO, R. (2015). SicherPro Security at Truckzeit. IESE, AD-346-E.
DE SANTIAGO, R. (2012). Haifolk 2012 Music Festival. IESE, AD-332-E.

Technical Notes

DE SANTIAGO, R. (2020). Continuous Discounting. IESE, ADN-285-E.
DE SANTIAGO, R. (2019). Monte Carlo Simulation. IESE, ADN-284-E.
DE SANTIAGO, R. (2015). Excel Tips for Advanced Users. IESE, ADN-281-E.
DE SANTIAGO, R., GORECKA-PIETRUCHA, J. (2013). An Introduction to Decision Trees. IESE, ADN-278-E.
DE SANTIAGO, R., GORECKA-PIETRUCHA, J. (2013). Introducción a los árboles de decisión. IESE, ADN-278.