Research Interests

Option Derivatives

•   Analytical methods for pricing exotics, especially barrier options
•   Stable FD methods (ADI, fractional steps, splitting) for pricing option derivatives, special attention to multi-dimensional case
•   Analytical and numerical methods for Levy models, including time-changed Levy models

Volatility products

•  Analytical and numerical methods of pricing Variance and Volatility Swaps and options on quadratic variation
•  Correlation and Dispersion Swaps

Convertible Bonds

• FD and MC methods of pricing CB with soft and hard calls

Currency options

• Numerical methods to solve Stochastic Skew model for pricing currency options

Interest Rate models

• Analytical and numerical methods of solving Interest Rate models