ABOUT ME
I'm Senior Economist at the Bank of Spain in Madrid, Spain.
My primary research interests are in the fields of Macro-Finance (the relationship between risk, volatility and central bank's policies) and Asset Pricing (market risk and volatility modeling and option pricing).
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My secondary Research interests are the Market Microstructure (analysis of the role of Market Makers in the options market quality) and the econometrics of high-frequency data (spillover índices).
EDUCATION
RESEARCH INTERESTS
The options markets and the volatility indices
The information content of the VIX, and VIX-alike indices
2007
Universidad Complutense de Madrid
Ph.D. in Economics
The spillover of expectations across markets
In particular, the spillover of volatility expectations accross markets in Europe: EMU vs non-EMU countries
The role of Market Makers in the quality of the market.
The role of LMM in the SPX option market
2000
Universidad Complutense de Madrid
M.A. in Quantitative Economics
EMPLOYMENT
2019 - present
Bank of Spain, Madrid, Spain
Senior Economist
Analysis and Market Intelligence Division
Operations Department
2011 - 2016
CUNEF, Madrid, Spain
Assistant Professor of Finance
2009 - 2011
Kellogg School of Management, Northwestern University, Chicago, IL, USA
Research Associate (Finance Department)
2001 - 2009
Universidad Complutense de Madrid, Spain
Teaching Assistant/Trainee in Quantitative Economics
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1999 - 2003
GESIF, Madrid, Spain
Economic Analyst
2016 - 2019
CUNEF, Madrid, Spain
Tenured Associate Professor of Finance
Price-level convergence in a monetary union
Absolute and relative convergence. Convergence in mean and variance. Velocity of convergence. Main drivers.
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The options market and inflation expectations
Inflation expectations generated at the market vs surveys.
1998
Universidad Complutense de Madrid
B.A. in Economics (Quantitative Economics)