Complete-Market Models of Stochastic Volatility
Event information | |
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Date | 31st October 2000 |
Time | 1:00pm - 2:00pm |
Venue | ICMA Centre, Room G03/04 |
Event types: |
He also acts as a consultant to the BroadStreet Group, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Dr Davis holds a PhD from the University of California Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance.
http://www.ma.ic.ac.uk/~mdavis/