- 2012: PhD in Mathematics, Universidad de la República, Uruguay.
- 2010: Computer engineer, Universidad de la República, Uruguay.
- 2009: Master in Mathematics, Universidad de la República, Uruguay.
- 2007: Degree in Mathematics, Universidad de la República, Uruguay.
Scientific and Professional Membership
- Researcher at PEDECIBA, Uruguay (Basic Science Developing Program).
- Associate researcher at SNI, Uruguay (National System of Researchers).
- Stochastic Numerics Research Group.
- SRI- Center for Uncertainty Quantification in Computational Science & Engineering.
Fabián Crocce worked as a Postdoctoral Fellow at Professor Raul F. Tempone's Stochastic Numerics Research Group at King Abdullah University of Science and Technology (KAUST).
- Partial Differential Equations, Probability Theory, and Stochastic Processes Distributed Strategic Learning, Stochastic Modeling.
- Optimal stopping for diffusions, both one-dimensional and multi-dimensional. Representation of the solution by the Green kernel of the process. His research interests also included optimal stopping problems for jump-processes and infinite-horizon problems.
- Fourier methods for option pricing and its error analysis. These methods, in the case of the Levy process, usually require the computation of a discrete Fourier transform. Optimal choose of the discretization, to minimize the error.
- Markov control processes and stochastic games. Algorithms to find optimal strategies for Markov decision processes and competitive Markov decision processes. Algorithms to learn optimal strategies.
- F. Crocce, J. Happola, J. Kiessling, R. Tempone, Error analysis in Fourier methods for option pricing, Accepted for publication in the Journal of Computational Finance (JCF), Dec. 2015.
- F. Crocce, E. Mordecki; Explicitsolutions in one-sided optimal stopping problems for one-dimensional diffusions, 2013.
- F. Crocce, E. Mordecki; A non-iterative algorithm for a turn-based dice game, 2013, submitted.
- F. Crocce, E. Mordecki; A finite exact algorithm to solve a dice game, 2013, submitted.