Personal Information
Occupation
Managing Director
Industry
Finance / Banking / Insurance
About
Current employment:
Natixis, New York (2018 - )
Head of Macro Trading. Products cover FX, FX options, Rates and Rates options for USD and Latam currencies, commodities (Oil, Natural Gas and NGL) and muni GIC activity.
Dolan School of Business, Fairfield University, Fairfield (2019 -)
Adjunct Professor. Currently teaches Global Financial Markets.
Tags
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ito
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brownian motors
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options
stochastic calculus
diffusion
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callable
smile
skew
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games
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pl explain
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chicago
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ricatti
show rate models
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#bond
#swap
#fixedincome
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#libor
#yieldcurve
#rates
basis
discount
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advection
sde
pde
pdf
digital options
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structured notes
formosa
lehman
pricing
mean-reversion
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heston
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langevin
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(5)Personal Information
Occupation
Managing Director
Industry
Finance / Banking / Insurance
About
Current employment:
Natixis, New York (2018 - )
Head of Macro Trading. Products cover FX, FX options, Rates and Rates options for USD and Latam currencies, commodities (Oil, Natural Gas and NGL) and muni GIC activity.
Dolan School of Business, Fairfield University, Fairfield (2019 -)
Adjunct Professor. Currently teaches Global Financial Markets.
Tags
volatility
ito
rates
brownian motors
stochastic
options
stochastic calculus
diffusion
risk management
brownian motion
thermal ratchets
correlation
affine models
risk
convexity
fx
leibniz
martingale
yield curve
ho-lee
hjm
expectation
swaps
yield
gaussian
calculus
callable
smile
skew
stratanovitch
puzzle
games
group theory
entropy
stratonovitch
inhomogeneous diffusion
statistics
greeks
pl explain
taylor
chemotaxy
maxwell demon
hedging
macro
blues brothers
chicago
mayfair
novikov
radon-nikodym
inflation
triangle
gödel
inception
fubini
interest rates
measure
isometry
time travel
zero coupons
ricatti
show rate models
forward rates
#bond
#swap
#fixedincome
#ratesmodeling
#libor
#yieldcurve
#rates
basis
discount
portfolio
advection
sde
pde
pdf
digital options
curve inversion
structured notes
formosa
lehman
pricing
mean-reversion
binomial
bdt
replication
bachelier
black-scholes
monte carlo
sabr
heston
saint malo
pavliotis
halperin
langevin
See more