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Overview of Monte-Carlo Techniques for Derivatives Pricing

Stephen Smith is currently a quantitative developer at the Royal Bank of Scotland working in the front office primarily on models for pricing and rosk of cross currency exotic derivatives.
Event information
Date 5th March 2008
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

He has a PhD. in Applied Mathematics from Princeton University for numerical studies of plasma turbulence. He held a post-doctoral position at the Advanced Computing Laboratory at Los Alamos where he became involved in the development of software frameworks for high-performance numerical simulation. Foolowing his postdoc, Stephen spent several years developing derivatives pricing libraries for NumeriX.