IIR & IBC Finance is part of the Knowledge and Networking Division of Informa PLC
This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.
Area of Research and Expertise:
Quantitative Finance: Stochastic Calculus, Contingent Claim Valuation, Change of Measures, Martingale, Interest Rate Term Structure Models, Binomial Models, Volatility Smiles, Fractional Brownian Motion, Principal Components Analysis, Extreme Value Analysis, Dynamic Programming, Deposit Insurance, High-Frequency Data.
Structured Products (OTC): Index Amortizing Swaps, Bermudan Swaptions, Constant Maturity Swaps, Equity-Linked Notes, Barrier Options. Power, Natural Gas, and Weather Derivatives,
Credit Derivatives: Equity Financing, Constant Maturity Credit Default Swap, Distinguishable Currency Swap, Credit Default Obligations (CDO), CDO^2, Subprime/Alt-A Mortgage Default Modeling, Loan Credit Default Swap.
High Frequency Trading: Market Microstructure Modeling, Ultra-Short Horizon Price Forecast, High Frequency Volatility Beta Estimation, Options Market Making, KOSPI Options Trading.
Volatility Arbitrage: Realized Volatility Estimation and Forecast, Realized Skewness, Realized Volatility Surface, Volatility Risk Premium, Correlation and Dispersion Trading, Option Long/Short.
Programming: Fortran, Pascal, C, C++, C#, R, Python, Matlab, MySQL