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Rodríguez Rozas, Ángel
Quantitative Methods
PhD: Universidade de Lisboa
BIO
Ángel joined Banco Santander in 2018 where he currently works at the headquarters as a Quantitative Analyst in the Internal Validation team, within the Risk division. As part of his role, he is responsible for leading the design and development of a financial library for the internal validation of derivatives models, including interest rates, FX, credit, commodities, equity and inflation.
Ángel obtained a doctorate (Ph.D.) in Computational Mathematics from the University of Lisbon and an M.Sc. in Artificial Intelligence from the Rovira i Virgili University (URV) and the Polytechnic University of Catalonia (UPC). He is co-author of more than 20 research articles in international journals in different research areas. He is also co-author of a patent application in the field of finance and simulation to solve the Black-Scholes model with a novel quantum algorithm.
Education
Ph.D. in Computational Mathematics, by the Universidade de Lisboa (2012)
M.Sc. in Artifitial Intelligence by the Universitat Rovira i Virgili -URV and the Universidad Politécnica de Cataluña -UPC (2008)
B.Sc. in Computer Science by the Universitat Rovira i Virgili -URV (2006)
Research Interests
Numerical methods for PDEs, artificial intelligence, high performance computing, plasma physics, finite element method, seismic wave propagation, oil and gas, simulation and inversion of petrophysical measurements, and quantum computing for finance.
Career
Quantitative analyst in internal validation, risk division at Banco Santander, from 2018 to present
External consultant at IQM Quantum Computers, 2021-2023
Senior and postdoctoral researcher at BCAM (Basque Center for Applied Mathematics), 2014-2018
Postdoctoral researcher at INRIA (Institute de Researche pour le Matematique et l’Informatique), 2012-2014
Predoctoral researcher at the University of Lisbon/Instituto Superior Técnico, 2008- 2012
Publications in Scientific Journals
Gonzalez-Conde, Javier; Rodríguez-Rozas, Ángel; Solano, Enrique; Sanz, Mikel: “Efficient Hamiltonian simulation for solving option price dynamics”, Physical Review Research, 5(4), Art. 043220, 2023.
Rodríguez-Rozas, Ángel; Pardo, David; Torres-Verdín, Carlos: “ Fast 2.5D Finite Element Simulations of Borehole Resistivity Measurements”, Computational Geosciences, 22 (5), 1271-1281, 2018.
Rodríguez–Rozas, Ángel; Diaz, Julien: “Non-Conforming Curved Finite Element Schemes for Time- Dependent Elastic-Acoustic Coupled Problems”, Journal of Computational Physics, 305, 44-62, 2015
Acebrón, Juan A; Rodríguez–Rozas, Ángel: “Highly Efficient Numerical Algorithm Based on Random Trees for Accelerating Parallel Vlasov–Poisson Simulations”, Journal of Computational Physics, 250, 224–245, 2013.
Acebrón, Juan A; Rodríguez–Rozas, Ángel; Spigler, Renato: “ Domain Decomposition Solution of Nonlinear Two–Dimensional Parabolic Problems by Random Trees”, Journal of Computational Physics, 228, 5574–5591, 2009.
Otros profesores
