Financial Engineering Workshop - Julien Hok

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Workshop

Wed, Mar 21, 2018

6:10 PM – 7:15 PM (GMT+0)

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Bayes Business School, 106 Bunhill Row
2005

106 Bunhill Row, London EC1Y 8TZ, UK

Registration

Details

Julien Hok, quantitative analyst at Credit Agricole, will be giving a seminar titiled "Option Pricing with Legendre Polynomials" on Wednesday 21st March from 18:10 - 19:15.

Refreshments will also be available in room 2005 from 17:40.

Speakers

Julien Hok's profile photo

Julien Hok

Julien Hok holds a PhD in financial mathematics from Ecole Polytechnique France.

He started as a quantitative analyst in equity at Santander in London for 6 years and

worked at Citi Group for 2 two years at London in interest rates.

Currently he joined CA-CIB as quantitative analyst in the hybrid desk at London.

His current research interests are



a. perturbation methods to obtain approximation pricing formulas

for exotic and hybrid products in equity/FX/Interest rates.

b. Option pricing by polynomial expansion of density function.

c. Calibration of local volatility model with stochastic rates by PDE approach.