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Financial Engineering Workshop - Marco de Innocentis (Credit Suisse)

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Workshop

Wed, 05 Dec 2018

6:10 PM – 7:15 PM

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Registration: 17:40 - 18:10

Cass Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK

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Marco de Innocentis, Senior Quantitative Analyst at Credit Suisse, will be giving a seminar titled "Heston model calibration and simulation for Counterparty Credit Risk" on Wednesday 5th December from 18:10 - 19:15 (light refreshments available from 17:40).



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Where

Cass Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK

Speakers

Marco de Innocentis

Credit Suisse

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.