Guada Azze, Abel

Quantitative Methods

PhD: Universidad Carlos III de Madrid

BIO

Abel Guada Azze earned his PhD in Mathematical Engineering from Universidad Carlos III de Madrid in 2023, where he also completed his Master Degree in the same field in 2018. He has a BSc in Mathematics from Universidad de La Habana (2014). His research interests include optimal stopping, stochastic control, stochastic processes and financial mathematics. From 2014 to 2016, he worked as a Professor at Universidad Politécnica de La Habana “José Antonio Echeverría”. He did a predoctoral research stay at the Department of Economics of Università degli Studi “Gabriele D'Annunzio”, Italy.

Research IDs:

Orcid: 0000-0002-3124-6420

Scopus: 57218281773

Google Schoolar: https://scholar.google.com/citations?hl=en&user=m2C5w9cAAAAJ

Publications in Scientific Journals

Azze, Abel; D’Auria, Bernardo; García-Portugués, Eduardo: "Optimal stopping of Gauss–Markov bridges", Advances in Applied Probability, 57(1), 1–34, 2025.

Azze, Abel. et al.: "Modelling a storage system of a wind farm with a ramp-rate limitation: A semi-Markov modulated Brownian bridge approach", Annals of Operations Research, 345, 39–57, 2024.

Azze, Abel; D’Auria, Bernardo; García-Portugués, Eduardo: "Optimal stopping of an Ornstein–Uhlenbeck bridge", Stochastic Processes and their Applications, 172, Art. 104342, 2024.

Azze, Abel; D’Auria, Bernardo; García-Portugués, Eduardo:

"Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes", Stochastics, 96(1), 921-946, 2024.

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