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Algorithmic Option Market Making

Event information
Date 10 February 2010
Time 13:00-14:00 BST
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

Separated from Goldman Sachs last year, Constellation Power Source is a leading power marketer in the USA. He is responsible for developing energy derivative pricing models and pricing exotic structure products such as various tolls and gas storage deals. Prior to this he worked as a quantitative analyst for Credit Agricole-Lazard Financial Products Bank in London and Wilmott Associates, and as a researcher at the University of Oxford and University College Santa Barbara. Hyungsok obtained a PhD in Statistics from Purdue University in the USA and is an associate editor of Applied Mathematical Finance.