You are welcome!

This is my personal homepage. Here you will find general information concerning my professional and private life. The site is still under construction, so at this time you can find here only the most important hints about me. If you have any question, please, do not hesitate to contact me!

My specializations

  • Quantitative Financial Modelling
  • Numerical Techniques and Optimization
  • Risk Management
Short introduction

I manage a team at BNP Paribas, Risk - Capital Markets, which is responsible for the validation of risk methodologies. This team qualifies and quantifies the model risks that are present in valuation and risk management models and methodologies. Earlier, I worked at Fortis as a model validation quant validating front office pricers to value equity, commodity and energy derivatives. Some time ago, I started my doctoral researches in quantitative finance. I am used to give presentations at various conferences and trainings.

My PhD

My doctoral researches focus on the field of financial underlying price process modelling for commodity, energy, equity and foreign exchange underlying assets. Based on the established underlying price process models the development of quantitative techniques to price financial derivatives efficiently is concerned in the research. The calibration of these models should incorporate all past and present information from the market. For further extension there is the possibility of the multi-asset underlying price process modelling. The main goal of my doctorate research is to find more consistent models for underlying price processes as well as to quantify the model risk present in these advanced financial models.

If you have any comment that may help me to go into the good direction with my PhD, please, submit it after the posts of my PhD diary.