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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 5 March 2008
Time 13:00-14:00 (Timezone: Europe/London)
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.