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 | |
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| Date | 5th March 2008 |
| Time | 1:00pm - 2:00pm |
| Venue | ICMA Centre, Room G03/04 |
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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.