How Important is the Term Structure in Implied Volatility Surface Modeling? Evidence from Foreign Exchange Options
|Date||2 December 2009|
|Time||13:00-14:00 (Timezone: Europe/London)|
|Venue||ICMA Centre, Room G03/04|
He graduated from the National Technical University of Athens and continued his studies at Imperial College in London where he also completed his PhD in Quantitative Finance. He has worked in Natwest Markets and Royal Bank of Scotland in London as well as in Emporiki Investment Bank and EFG Eurobank in Athens, holding senior positions in the areas of risk management, financial engineering, structuring and alternative investments. His main research interests are focused in the field of implied volatility surfaces, credit derivatives and asset pricing involving dynamic trading strategies. He has spoken in various academic and practitioner's conferences and he has published in academic journals and books in the area of derivatives pricing and risk.