Fast Wavelet-Based PDE Valuation of Complex Derivatives
|Date||19 February 2003|
|Venue||ICMA Centre, Room G03/04|
He has taught and researched in leading universities on both sides of the Atlantic and is currently co-Editor-in-Chief (with J Doyne Farmer) of Quantitative Finance. He has been consultant to a number of global financial institutions and is regularly involved in executive education in financial engineering and risk management around the world. Author of over 100 published research articles; his recent books include Stochastic Programming, Derivative Securities (with S R Pliska) and Risk Management: Value at Risk and Beyond.