David Nicolay received his Ph.D. degree in financial mathematics from Ecole Polytechnique, France. Currently he is a front office quantitative researcher for a financial institution in London. His research interests include the modelling of interest rates and hybrid derivatives, Monte-Carlo methods and asymptotic approaches.
1 E-böcker av David Nicolay
David Nicolay: Asymptotic Chaos Expansions in Finance
Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are …
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