Word Financial Center
New York City, NY 10278
United States
Scotia Bank
volatility, surface, arbitrage-free, options
local volatility, implied volatility, arbitrage
bermudan swaptions, spread options, interest rate derivatives, libor market model, short rate models, pricing securities, quantitative finance, term structure models, financial mathematics, swaption, caps, floors, vol cube, vol bonds, conformal symmetries, measure theory, unspanned volatility
local volatility, PDE solver, Kolmogorov equation, Crank-Nicolson, implicit scheme
Appel Symmetry, Classical Mechanics, Black-Scholes, Group Cohomology, Central Extension, Hamiltonian Mechanics, Virasoro Algebra, Group Representation, Quantum Field Thory
rough volatility, fractional Brownian motion, stopping time, jump-diffusion
interest rate derivatives, market models, jump diffusion, conformal symmetry, uspanned
volatility, Carr-Pelts, Radon-Nikodim, jump-diffusion
arbitrage, stochastic volatility, stochastic rates, Dybvig-Ingersoll-Ross Theorem
Interest Rate Derivatives, Market Models, Jump Diffusion, Conformal Symmetry, Uspanned Stochastic Volatility, Division Algebras, Exceptional Groups, Quaternions, Octonions, Projective Geometry
