Financial Models in Production

ISBN-13: 9783030574956 / Angielski / Miękka / 2020 / 61 str.

Othmane Kettani; Adil Reghai

Spis treści

1. Introduction.- 2. Black & Scholes Model.- 3. Local Volatility Model.- 4. Market Model P&L Explain.

O autorze

Adil Reghai graduated from Ecole Polytechnique and Ecole des Mines de Paris. He worked as a quant for two decades developing models, algorithms and designing risk systems. He is now head of equity and commodity derivatives research quant, and a guest lecturer at SKEMA Business School. He is the author of two books.

Othmane Kettani holds a Master of Research and a PhD in Finance from Paris I Panthéon-Sorbonne University, as well as a University Degree in Business Law from Paris II Panthéon-Assas University. He also graduated from Supélec and ESCP Europe. He works now as equity derivatives research quant at Natixis, and is a part-time lecturer at Paris I University (Master of Research Financial Markets and Risk Management, Course Option Pricing Theory).