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Quantitative finance
- Equity derivatives (volatility surface dynamics, forward starting options, stochastic volatility models, correlation skew)
- Commodity derivatives (forward curve dynamics)
- Hybrid derivatives (credit-interest(-fx) hybrids, multiasset options, long-dated fx options)
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Computational finance
- Fourier inversion methods
- Numerical solutions of stochastic differential equations
- Correlation matrix completion
- Krylov subspace methods for partial integro differential equations
- Watanabe calculus for asymptotic solutions in stochastic volatility models
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