My main areas of interest are Mathematical Finance and Stochastic Control. In the area of Mathematical Finance, I have been working on option pricing, optimal consumption-investment, optimal control of the exchange rate, optimal compensation of executives, principal-agent problems, optimal dividend policy of a financial corporation, and business cycles. In the area of Stochastic Control, I have been working on martingale, dynamic programming, and stochastic maximum principle methods to solve problems of optimal stopping, classical stochastic control, stochastic singular control, and stochastic impulse control.

Humboldt Research Fellowship to pursue research at the Institut für Mathematik, Humboldt Universität zu Berlin, Summer 2001 - Summer 2002.

Rosenbaum Visiting Fellowship for the Programme on Financial Mathematics organized by the Isaac Newton Institute for Mathematical Sciences, University of Cambridge, January 1995 - June 1995.

L.R. Sotomayor and A. Cadenillas (2008): Explicit Solutions of Consumption-Investment Problems in Financial Markets with Regime Switching. To appear in Mathematical Finance.

A. Cadenillas, J. Cvitanic and F. Zapatero (2007):  Optimal Risk-Sharing with Effort and Project Choice [previous versions were titled "Dynamic Principal-Agent Problems with Perfect Information"], Journal of Economic Theory, vol 133, issue 1, pp. 403-440.

A. Cadenillas, S. Sarkar and F. Zapatero (2007):  Optimal Dividend Policy with Mean-Reverting Cash Reservoir, Mathematical Finance, vol 17, pp 81-110.

C. Buescu, A. Cadenillas, S. Pliska (2007):  A Note on the Effects of Taxes on Optimal Investment, Mathematical Finance., vol 17, issue 4, pp. 447-485.

A. Cadenillas, T. Choulli, M. Taksar, and L. Zhang (2006):  Classical and Impulse Stochastic Control for the Optimization of the Risk and Dividend Policies of an Insurance Firm, Mathematical Finance, vol 16, pp. 181-202.

A. Cadenillas, J. Cvitanic and F. Zapatero (2004): Leverage Decision and Manager Compensation with Choice of Effort and Volatility. Journal of Financial Economics, vol 73, issue 1, pp. 71-92.

A. Cadenillas and F. Zapatero (2000): Classical and impulse stochastic control of the exchange rate using interest rates and reserves. Mathematical Finance, vol 10, number 2, pp. 141-156.

Cadenillas and F. Zapatero (1999): Optimal Central Bank intervention in the foreign exchange market. Journal of Economic Theory, vol 87, issue 1, pp. 218-242.

A. Cadenillas and S. Pliska (1999): Optimal trading of a security when there are taxes and transaction costs. Finance and Stochastics, vol 3, number 2, pp. 137-165.

A. Cadenillas and I. Karatzas (1995): The stochastic maximum principle for linear, convex optimal control with random coefficients. SIAM Journal on Control and Optimization, vol 33, number 2, pp. 590-624.

A. Cadenillas and U. G. Haussmann (1994): The stochastic maximum principle for a singular control problem. Stochastics and Stochastics Reports, vol 49, pp. 211-237.

Research Grant of the Social Sciences and Humanities Research Council of Canada (principal investigator):  Optimal Contracts, April 2006 - March 2009.

Research Grant of the Natural Sciences and Engineering Research Council of Canada (principal investigator):  Stochastic Control, April 2005 - March 2010.

Research Grant of the Social Sciences and Humanities Research Council of Canada (principal investigator): Risk Management and Optimal Dividend Policies, April 2003 - March 2006.

Research Grant of the Natural Sciences and Engineering Research Council of Canada (principal investigator): Stochastic Control, April 2001 - March 2005.

Research Grant of the Social Sciences and Humanities Research Council of Canada (principal investigator): Option Pricing and Consumption-Investment Problems, April 2000 - March 2003.

Research Grant of the Natural Sciences and Engineering Research Council of Canada (principal investigator): Stochastic Control, April 1997 - March 2001.

Research Grant of the Social Sciences and Humanities Research Council of Canada (principal investigator): Mathematical Finance, April 1997 - March 2000.

Faculty of Sciences of the University of Alberta: Start-up funds, July 1996 - March 1997.

The Third Bachelier Colloquium, Metabief, France, January 6-13, 2008.

Winter 2007 Meeting of the Canadian Mathematical Society, London, Canada, December 8-10, 2007.

Conferencia Internacional de Matematicas, Pontificia Universidad Catolica del Peru, Lima, Peru, August 14-17, 2007.

35th Annual Meeting of the Satistical Society of Canada, St. John's, Canada, June 10-13.

Mathematics and Finance: from Theory to Practice, Instituto Nacional de Matematica Pura e Aplicada (IMPA), Rio de Janeiro, Brasil, October 30 - November 1, 2006.

Summer 2006 Meeting of the Canadian Mathematical Society, Calgary, Canada, June 2-5, 2006

International Conference on Management Sciences:  Optimization Models and Applications.  A Conference in Honor of Professor Suresh P. Sethi, May 20-22, 2006, Dallas, Texas.

Workshop on Optimization in Finance, Centro Internacional de Matematica Thematic Year on Optimization, Coimbra, Portugal, July 5 - 8, 2005.

Workshop on Stochastic Modeling in Financial Mathematics, Centre de recherches mathematiques, Montreal, Canada, June 1 - 5, 2005.

Fourth World Congress of Nonlinear Analysis, Orlando , Florida , USA , June 30 - July 7, 2004 .

Quantitative Methods in Finance 2003 Conference , Australia , December 10 - 13, 2003 .

Workshop on Financial Mathematics, Atlantic Association for Research in the Mathematical Sciences, Memorial University of Newfoundland, St. John’s, Canada, August 17 - 20, 2003.

Mathematics of Finance, Joint Research Conference of the AMS, IMS, and SIAM , Snowbird Resort , Utah , USA , June 22 - 26, 2003 .

Summer 2003 Meeting of the Canadian Mathematical Society, Edmonton , Canada , June 14 -16, 2003.

Winter 2002 Meeting of the Canadian Mathematical Society, Ottawa , Canada , December 8 -10, 2002.

Conference on Stochastic Control and its Applications. Institute of Mathematics of the Polish Academy of Sciences, Poland, June 3-8, 2002.

INTAS Workshop "Incomplete Markets and Weather Derivatives", Berlin, Germany, February 18-19, 2002.

The Second Canada-China Mathematics Congress, Vancouver, Canada, August 20-23, 2001

38th IEEE Conference on Decision and Control, Phoenix, Arizona, USA, December 7 - 10, 1999.

Conference in honor of Professor (Emeritus) Ata Al-Hussaini, University of Alberta, September 18, 1999.

10th INFORMS Applied Probability Conference, Ulm, Germany, July 26 - 28, 1999.

Third Joint Meeting of the American Mathematical Society and the Sociedad Matematica Mexicana, Session on Stochastic Systems, Oaxaca, México, December 3 - 6, 1997.

CIRANO - CRM Workshop on the Mathematics of Finance, Montreal, Canada, April 30 - May 2,1996.

Bank of England Conference - Mathematics of Finance: Models, Theory, and Computations. The Isaac Newton Institute for Mathematical Sciences, Cambridge, United Kingdom, May 22 - June 2,1995.

CINVESTAV - UAM Workshop on Stochastic Control, Morelia, México, August 8 - 10, 1994.