Research

Publications

• Mathematical programming

  • Optimal Counterfactual Explanations for Scorecard modelling. Submitted, 2021 [arXiv]
  • Optimal binning: mathematical programming formulation. Submitted, 2020 [arXiv]

• Special functions

  • High-precision computation of uniform asymptotic expansions for special functions. PhD thesis, Universitat Politècnica de Catalunya, 2019 [PDF] [URL]
  • Numerical methods and arbitrary-precision computation of the Lerch transcendent. Submitted, 2019 [PDF]
  • High-precision computation of the confluent hypergeometric function via Franklin-Friedman expansion. Advances in Computational Mathematics, volume 44, Issue 3, pp. 841-859, 2018 [PDF][DOI]
  • Fast and accurate algorithm for the generalized exponential integral Ev(x) for positive real order. Numerical Algorithms, volume 77, Issue 2, pp. 603-630, 2018 [PDF][DOI]
  • On the computation of confluent hypergeometric functions for large imaginary part of the parameters b and z. Springer Lecture Notes in Computer Science (LNCS), volume 9725, pp. 241-248, 2016 [PDF][DOI]

• Quantitative Finance

  • Efficient computation of the large homogeneous portfolio approximation with the t-copula model. Submitted, 2023
  • Index-tracking portfolio optimization model. Numerical Algorithm Group Technical Report, 2016
  • Portfolio Credit Risk. Numerical Algorithms Group Technical Report, 2016
  • Portfolio Credit Risk: Models and Numerical Methods. Master's thesis, Universitat Politècnica de Catalunya, 2016 [PDF]
  
  

  Talks

  
  
  • OptBinning: The Python optimal binning library. BBVA AI Factory - The Discussion Club, Madrid, 2023
  • Optimal binning using Python. PyDay BCN 2022, Barcelona, 2022
  • Mathematical optimization for scoring modelling. 31 st European Conference on Operational Research, Athens, 2021
  • Fast Bayesian A/B and multivariate testing. PyDay BCN 2019, Barcelona, 2019
  • High-precision computation of uniform asymptotic expansions for special functions. PhD thesis, Univesitat Politècnica de Catalunya, Barcelona, 2019
  • Fast and accurate algorithm for the generalized exponential integral Ev(x) for positive real order. Foundations of Computational Mathematics, Barcelona, 2017
  • On the computation of confluent hypergeometric functions for large imaginary part of the parameters b and z. The 5th International Congress on Mathematical Software, Berlin, 2016