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Regular Variation and Smile Asymptotics

Event information
Date 18 October 2006
Time 13:00-14:00 (Timezone: Europe/London)
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

Prior to that, he was an Associate at Merrill Lynch New York, in Jim Gatheral's quant group. He was also involved in several research projects at BNP-Paribas in New York, Ecole Normale Supérieure in Paris and at Oxford University. After studying Mathematics, Physics and Engineering at Vienna University of Technology, Ecole Centrale Paris and Cambridge University, Peter obtained his PhD in Finance from New York University, the Courant Institute of Mathematical Sciences. Peter already has 15 published/accepted articles and several preprints in the broad area of PDE, Finance and Stochastic Analysis, published in Physica D, JFA, Quantitative Finance, RISK, Annals of Probability etc. He also has a book in preparation entitled ?Multidimensional Stochastic Processes as Rough Paths?, edited by Cambridge University Press.