Pedro Tamaroff

I am a mathematician with a PhD from Trinity College Dublin and a Licenciatura from the University of Buenos Aires. I worked as a researcher in MPIMiS Leipzig and later in Humboldt Universität. An algebraist by trade, I am broadly interested in analysis, algebra and combinatorics, among others. On the side of financial mathematics, I am interested in the computational and implementation aspects (in particular AAD), and recently started dwelling in stochastic optimization.

I currently work in model risk management in Deutsche Bank, where I am a model validation lead in the Berlin team for validation of interest rate and forex pricing models. I have also worked with several reserve models for various XVA charges. You may know me from math.SE, where I am a moderator. Here is a picture of myself.

Background

I completed my PhD in Mathematics at Trinity College Dublin under the direction of Vladimir Dotsenko. My dissertation is available here. I completed my undergraduate studies at the University of Buenos Aires, and wrote my thesis under the direction of Mariano Suárez-Álvarez.

Online pricer

I have developed a Monte Carlo pricer with automatic adjoint differentiation in Go, and aim to include a small UI to price with the stochastic volatility Heston model in 2026 Q1. See below for some snippets of price, delta and vega of a European call generated with this Monte Carlo pricer for the Heston model with and without stochastic volatility (in which case the model is the usual Black--Scholes model).

Posts

Starting 2026, I aim to make monthly blog posts about things I am or have learned around mathematical finance and computational finance. Stay tuned!

Repositories

I have some tiny repositories with simple computations that someone just starting with financial mathematics may be interested in:

Past activity

I was a postdoctoral researcher in the research group of Gaetan Borot. I supervised the Bachelorarbeit of Lea Polonyi (Physics). Lea successfully defended her thesis titled "Cluster Algebras" on January 30th 2024. The referees were Gaetan Borot and Ángela Ortega.

I was part of the organizing committee of the 2023 CIMPA School Crossroads of geometry, representation theory and higher structures, which took place from March 13th to March 26th 2023 in Puerto Madryn, Argentina, and which was a great success. More information available here.

I was a postdoctoral researcher at the non-linear algebra research group of the MPIMiS in Leipzig from May 2021 to March 2022. During my stay there, I gave a lecture series titled Algebraic operads, Koszul duality and Gröbner bases: an introduction from October 15th 2021 to January, 21st 2022. More information and lecture notes here.

Publications

  1. Tangent complexes and the Diamond Lemma, with Vladimir Dotsenko. To appear in Bulletin of Mathematical Sciences.
  2. Generalized cohomological field theories in the higher order formalism, with Vladimir Dotsenko and Sergey Shadrin. Published in Communications in Mathematical Physics.
  3. Derived Poincaré--Birkhoff--Witt theorems, with Anton Khoroshkin and an appendix by Vladimir Dotsenko. Published in Letters in Mathematical Physics.
  4. FG for Hochschild cohomology of Gorenstein monomial algebras, with Vladimir Dotsenko and Vincent Gélinas. Published in Selecta Mathematica.
  5. Resolutions of operads via Koszul (bi)algebras. Published in J. Homotopy Relat. Struct.
  6. The cohomology of coalgebras in species. Published in Commun. Algebra.
  7. The Tamarkin--Tsygan Calculus of an algebra à la Stasheff. Published in Homol. Homotopy Appl., no. 23(2) pp. 257-282.
  8. Endofunctors and Poincaré--BirkhoffWitt Theorems, with Vladimir Dotsenko. Published in Int. Math. Res. Notices, rnz369.
  9. Minimal models for monomial algebras. Published in Homol. Homotopy Appl., no. 23(1) pp. 341-366.

Disclaimer

Opinions expressed here are mine, and any material is provided for informational purposes only and does not constitute investment or financial advice. All information discussed here is derived from publicly available sources and does not include any confidential, proprietary, or non-public information. Mention of specific firms or products, for example for illustrative purposes, does not imply sponsorship or approval of such firms or products.

Contact me

You can drop a message in LinkedIn. Past academic emails are no longer active.

Some art I like

These are some comics by False Knees. You can buy prints here if you like them, or see more in their Instagram account!

A comic by False Knees

Quotes

"We all come from somewhere. We carry that place with us wherever we go. That never leaves our heart. Not entirely. But none of us can predict where our voyage will lead. We may suffer losses along the way. But we can hope to learn and grow from those experiences and from those who accompany us in our journey." Saru in The Sound of Thunder.

"We are deeply social and deeply instinctual animals, so much that our well-being depends on many things we do that are hard to explain in an intellectual way. That is why you do well to follow your heart and your passion. Bare reason is likely to lead you astray. None of us are smart and wise enough to figure it out intellectually." Bill Thurston in this MO post.

"Attention is the reader's gift to you. That gift is precious. And finite. And should you fail to be a respectful steward of that gift—most commonly, by boring or exasperating your reader—it will be promptly revoked.

"Once a reader revokes the gift of attention, you don't have a reader anymore. Then you become a writer only in the narrowest sense of the word. Yes, you put words on some pages. But if your reader has disappeared, what was the point? How is your writing more valuable than a random string of characters? Like the proverbial tree falling in the woods, no one's there to notice the difference." Matthew Butterick in his book on typography.