About
I just moved my blog to a static website, created with Hugo, I explain the reasons why here. You can find more about me on my linkedin profile. In addition you might find the following interesting:
- List of quantitative finance papers I have freely available on SSRN
- TR-BDF2 for Stable American Option Pricing. This is the first draft, not the final version that was published in the Journal of Computational Finance.
- Presentation on finite difference techniques for arbitrage-free SABR I gave at the conference on models and numerics in financial mathematics at the Lorentz center in 2015.
- Exact Forward for Finite-Difference Schemes on the Log-transformed Black-Scholes PDE.
- Asymptotic bounds of the normal volatility.