Skew Modelling and Deciphering
|Date||2 November 2005|
|Venue||ICMA Centre, Room G03/04|
After obtaining a PhD in numerical analysis, he pioneered the use of neural networks in finance and developed the widely used local volatility models in 1993. He has subsequently worked on stochastic volatility modelling and Monte Carlo methods for option pricing. He is now a consultant in the fields of derivatives and asset management and sits on the advisory board of PRMIA. Also, he is a Fellow and Adjunct Professor at NYU. In 2002 he was included in the Risk Hall of Fame of the 50 most influential figures in Derivatives and Risk management.