How Important is the Term Structure in Implied Volatility Surface Modelling? Evidence from Foreign Exchange Options

George Chalamandaris is a Lecturer of Finance at the Athens University of Economics and Business at the Department of Accounting and Finance.
Event information
Date 17th February 2010
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

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.

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