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by Matthias Arnsdorf and Igor Halperin. Volume 12 / Number 1, Fall 2008 • Multi-asset option pricing using a parallel Fourier-based technique by C.C.W. Leentvaar and C.W. Oosterlee
... Correlating multivariate Levy spread processes • LCDX and Synthetic CLO structures Presenters: Salah Amraoui: Structured Credit Trading, BNP Paribas Matthias Arnsdorf: Quantitative ...
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UBS (Investment Banking industry): Associate, (2002-2004)
Imperial College London (Educational Institution; 5001-10,000 employees; Research indus...