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.
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stochastic
stochastic calculus
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brownian motors
diffusion
risk management
risk
affine models
thermal ratchets
convexity
show rate models
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correlation
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martingale
ho-lee
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leibniz
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hjm
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hedging
yield
monte carlo
smile
skew
stratanovitch
swaps
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portfolio
sde
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langevin
halperin
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heston
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pdf
pde
mayfair
chicago
blues brothers
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taylor
pl explain
greeks
statistics
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stratonovitch
entropy
group theory
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puzzle
ho lee
girsanov
finance
simulation
dynamic hedging
#rates
#yieldcurve
#libor
#ratesmodeling
#fixedincome
#swap
#bond
forward rates
ricatti
zero coupons
time travel
isometry
measure
interest rates
fubini
inception
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triangle
inflation
radon-nikodym
novikov
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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
ito
volatility
rates
stochastic
stochastic calculus
options
brownian motors
diffusion
risk management
risk
affine models
thermal ratchets
convexity
show rate models
brownian motion
correlation
yield curve
martingale
ho-lee
gaussian
fx
leibniz
calculus
callable
hjm
bdt
hedging
yield
monte carlo
smile
skew
stratanovitch
swaps
expectation
advection
portfolio
sde
discount
basis
langevin
halperin
pavliotis
saint malo
heston
sabr
black-scholes
bachelier
replication
binomial
mean-reversion
pricing
lehman
formosa
structured notes
curve inversion
digital options
pdf
pde
mayfair
chicago
blues brothers
macro
maxwell demon
chemotaxy
taylor
pl explain
greeks
statistics
inhomogeneous diffusion
stratonovitch
entropy
group theory
games
puzzle
ho lee
girsanov
finance
simulation
dynamic hedging
#rates
#yieldcurve
#libor
#ratesmodeling
#fixedincome
#swap
#bond
forward rates
ricatti
zero coupons
time travel
isometry
measure
interest rates
fubini
inception
gödel
triangle
inflation
radon-nikodym
novikov
See more