About Me

I am a desk quant for the listed options market making business at IMC Financial Markets in Amsterdam. Before, I worked in a similar role for the equity derivatives flow trading desk of Commerzbank AG in Frankfurt am Main. There, I developed valuation models for retail structured products as well as volatility surface calibration routines and implemented them in a new in-house C++ library. Between 2010 and 2013 I obtained a Ph.D. in Finance at the University of New South Wales in Sydney. My doctoral research focused on theoretical and numerical problems in financial engineering. Please see my current resume for more details.

About This Webpage

Here you’ll find various posts on topics in quantitative finance. Some are based on problems that I am currently working on and others on the many notes that I took during my Ph.D. studies. The latter are usually known results that I worked out myself in lot’s of details. They represent my understanding of the subject usually from the time when I first started to look into it.

Further Profiles:

Recent Posts

  1. Option Pricing When a Single Jump is Anticipated II Leave a reply
  2. Option Pricing When a Single Jump is Anticipated I Leave a reply
  3. Inverse Gaussian Ornstein-Uhlenbeck Stochastic Clocks Leave a reply
  4. Cox-Ingersoll-Ross Stochastic Clocks Leave a reply
  5. C++ Member Function Detector Macro Leave a reply
  6. Gamma Ornstein-Uhlenbeck Stochastic Clocks Leave a reply
  7. Automatic (Differentiation) for the COS Method Leave a reply
  8. Automatic Differentiation with CppAD Leave a reply
  9. Suggested Errata for Musiela and Rutkowski (2005) “Martingale Methods in Financial Modelling” Leave a reply