Linking Caplet and Swaption Volatilities
|Date||21 November 2000|
|Venue||ICMA Centre, Room G03/04|
In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst in the Quantitative Research Centre of the enlarged Royal Bank of Scotland Group where his primary responsibilities were independent model validation and derivatives modelling research. In December 2000, he joined Commerzbank Securities as a quant in their front office product development and derivatives modelling unit (Financial Engineering).