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Presentations
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Below are the slides from some of the presentation I have given:
- Efficient Fourier Transform-based Pricing of Interest Rate Derivatives (March 10, 2009) [PDF]
Young Researchers Workshop on Finance 2010, Tokyo Metropolitan University
- Pricing and Hedging of Commodity Derivatives using FFT (December 9, 2009) [PDF]
Department of Mathematics and Statistics, University of Calgary
- Efficient FFT-based Computation of Option Greeks (June 11, 2009) [PDF]
Canadian Applied and Industrial Mathematical Society 2009
- FFT-Based Option Pricing under Mean-Reverting Levy Processes (July 19, 2008) [PDF]
Fifth World Congress of Bachelier Finance Society at Imperial College of London
- Parallel Option Pricing with Fourier Space Time-stepping Method on Graphics Processing Units (April 18, 2008) [PDF]
The First Workshop on Parallel and Distributed Computing in Finance at University of Toronto
- Option Pricing with Regime Switching Levy Processes using Fourier Space Time Stepping (September 24, 2007) [PDF]
Financial Engineering and Applications conference at UC Berkeley
- Fourier Space Time-stepping Method for Option Pricing with Levy Processes (July 27, 2007) [PDF]
Computational Methods in Finance conference at University of Waterloo
- Valuation of Mortgage-Backed Securities in a Distributed Environment (December 8, 2005) [PDF]
Master's thesis presentation at University of Toronto
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