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Financial Engineering Workshop - Marco de Innocentis

by Faculty Events

Workshop

Wed, 28 Feb 2018

6:10 PM – 7:15 PM

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Cass Business School, 106 Bunhill Row
2005

106 Bunhill Row, London EC1Y 8TZ, UK

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Tickets

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Sales End Feb 28, 2018 at 6:10 PM Availability Unlimited Price FREE

Description

Marco de Innocentis, Senior Quantitative Analyst at Credit Suisse, will be giving a seminar titled "Heston Calibration for Counterparty Credit Risk" on Wednesday 28th Feb from 18:10 - 19:15.

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

Where

Cass Business School, 106 Bunhill Row
2005

106 Bunhill Row, London EC1Y 8TZ, UK

Speakers

Marco de Innocentis

Marco is a senior quantitative analyst in the Exposure Modelling team

within the Investment Banking Division of Credit Suisse.

His areas of expertise include counterparty credit risk modelling, derivative pricing,

stochastic volatility and jump processes.

The main focus of his current work is the development of Monte Carlo simulation and

pricing models for exposure calculation of bilateral OTC derivatives.

Marco is an Honorary Fellow at the University of Leicester,

holds a Ph.D. in Mathematics and has authored several articles in peer-reviewed journals

in the fields of Quantitative Finance and Integrable Systems.

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