Financial Engineering Workshop - Julien Hok
Bayes Business School, 106 Bunhill Row
2005
106 Bunhill Row, London EC1Y 8TZ, UK
Registration
Details
Refreshments will also be available in room 2005 from 17:40.
Speakers
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.