Schlagwörter
Beratung
Simulationen
Skills
Quantitativer Analyst, Quantitativer Developer
Projekthistorie
8 Jahre Projekterfahrung,
4 Investmentbanken in Frankfurt am Main und Berlin,
Equity derivatives, stochastic volatility, local volatility, stable calibration, hedging, exotic options, hedging gap risk, fund derivatives, financial engineering, arbirtage-free interpolation of the impled volatility surfaces, fast pricing of forward-start options, control variates, Brownian bridges, stochastic volatility with jumps, Fast Fourier Transform, fractional FFT, hedging second-order volatility sensitivities (vanna and volga), Monte-Carlo pricing, parallelization of the Monte-Carlo algorithm, structured equity derivatives products, dividend modelling, VaR calculations, parametrization of the implied volatility surfaces, Levy processes, jump modelling, Variance Gamma, finite differences, Levenberg-Marquardt method, Numerical Evoluition method, Barndorff-Nielsen-Shephard model, Hull-White model, LIBOR market model, Heston model, multi-factor stochastic volatility models, extrapolation of the implied volatilities in the far OTM and deep ITM areas, accurate pricing of barrier options when the barrier is in the far OTM or deep ITM area, Bates model, correlation products, autocallables, variance swaps, volatility swaps, correlation swaps, options on variance, cliquets, lookback options, asian options, basket options, rainbow options, discrete and continuous barrier options, Parisian options, options on funds, options on ETFs, options on CPPI, forward volatility modelling, forward skew modelling, model risk estimation, optimization methods, performance optimization of the calibration and pricing routines, trading strategies, hedging strategies, static hedging, dynamic hedging, hedging barrier option when the spot is near the barrier, hedging with the Heston model, Fourier methods, risk management, model validation, backtesting, validation of the calibration algorithms using historical market data, PDE solvers, Imagine trading system, C++, Numerix, Quantlib, Matlab, Mathematica, Excel, VBA, Access, ODBC, Java, SQL, publications in refereed journals and books, seminars and talks at international conferences
4 Investmentbanken in Frankfurt am Main und Berlin,
Equity derivatives, stochastic volatility, local volatility, stable calibration, hedging, exotic options, hedging gap risk, fund derivatives, financial engineering, arbirtage-free interpolation of the impled volatility surfaces, fast pricing of forward-start options, control variates, Brownian bridges, stochastic volatility with jumps, Fast Fourier Transform, fractional FFT, hedging second-order volatility sensitivities (vanna and volga), Monte-Carlo pricing, parallelization of the Monte-Carlo algorithm, structured equity derivatives products, dividend modelling, VaR calculations, parametrization of the implied volatility surfaces, Levy processes, jump modelling, Variance Gamma, finite differences, Levenberg-Marquardt method, Numerical Evoluition method, Barndorff-Nielsen-Shephard model, Hull-White model, LIBOR market model, Heston model, multi-factor stochastic volatility models, extrapolation of the implied volatilities in the far OTM and deep ITM areas, accurate pricing of barrier options when the barrier is in the far OTM or deep ITM area, Bates model, correlation products, autocallables, variance swaps, volatility swaps, correlation swaps, options on variance, cliquets, lookback options, asian options, basket options, rainbow options, discrete and continuous barrier options, Parisian options, options on funds, options on ETFs, options on CPPI, forward volatility modelling, forward skew modelling, model risk estimation, optimization methods, performance optimization of the calibration and pricing routines, trading strategies, hedging strategies, static hedging, dynamic hedging, hedging barrier option when the spot is near the barrier, hedging with the Heston model, Fourier methods, risk management, model validation, backtesting, validation of the calibration algorithms using historical market data, PDE solvers, Imagine trading system, C++, Numerix, Quantlib, Matlab, Mathematica, Excel, VBA, Access, ODBC, Java, SQL, publications in refereed journals and books, seminars and talks at international conferences
Reisebereitschaft
Verfügbar in den Ländern
Deutschland
Frankfurt am Main, ab sofort
Sonstige Angaben
Equity derivatives, fund derivatives, local volatility, stochastic volatility, Monte-Carlo, finite differences, exotic options, trading systems, front office
