(...) I have always been ridiculous, and
Fyodor Dostoevsky (1821-1881) in The Dream of a Ridiculous Man.
My current research activity is focused on Financial
Mathematics - the use of modern mathematical tools from
stochastic analysis, probability theory and statistics to
understand, model and make decisions in financial markets. As a
member of PhiMac
I worked in a number of research projects in this area, such as pricing
and hedging in incomplete markets (applications of
utility--based pricing to, among others, real options, stochastic
volatility and employee stock options), positive interest
rates (using the chaotic framework introduced by Hughston
and Rafailidis), systemic risk
and stability (using
network analysis and the tools from agent-based computational
economics) and more recently asset
bubbles (trying to use the techniques from dynamical
systems to formalize the ideas of Hyman Minsky, among others) and
climate-economic models (replacing the mainstream economic
part of Integrated Assessment Models with a more suitable
nonlinear, disequilibrium, economic model).
The subject of my PhD was Information Geometry, and I still have an active interest in the area. It is concerned with the furnishing of geometrical structures to families of probability distributions, both classical and quantum, either finite or infinite dimensional. A look at the recent conference held in Leipzig should give a good perspective of the kind of problems and applications of the subject. I personally arrived at information geometry because it can provide a general way to develop dynamical models in nonequilibrium statistical mechanics, but now I'm naturally more interested in possible applications in mathematical finance.
Finally, back in my undergraduate times at the University of Sao Paulo, I developed a strong interest for History of Science, having written a couple of essays on History of Mathematics and presented several talks in conferences and meetings, both in Brazil and abroad. Although not working professional on such matters any more, I am still a member of the Sociedade Brasileira de Historia da Ciencia and try to keep updated with the work of my historian friends, nurturing the desire to do research in the field some day in the future.