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Applied mathematics of financial markets
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I have been a front office quantitative analyst since September 1998. I specialise in
options on foreign currency and commodities
(precious and base metals, energy including oil, gas and coal).
Foreign currency options are described in my book Foreign Exchange Option Pricing: A Practitioner's Guide (published 2010 by Wiley Finance). Many commodities, energy contracts in particular, trade as a strip of highly (but not perfectly) correlated futures contracts. Options on these asset classes are notable for the presence of more complex calibration instruments such as asians and energy swaptions. |