Areas of Focus

• Derivatives and options
• Fourier transform methods
• Risk management
• Risk model validation
• Commodity & energy modelling
• Commodity & energy econometrics Commodity & energy trading strategies
• Statistical arbitrage

The application of fourier transforms in derivatives valuation and risk management. Such methods offer model flexibility coupled with huge computational efficiencies. Given relevant industry experience, also has keen interest in model risk & model validation issues.

Also interested in a broad range of Commodity and Energy (C&E) modelling and derivatives topics and in the application of econometrics in C&E trading strategies. Currently analysing oil and freight markets in context of recent oil contango and investigating appropriate statistical arbitrage based oil storage strategies.

Keywords:

Derivatives and options;Fourier transform methods; Risk management;Risk model validation; Commodity & energy modelling; Commodity & energy econometrics; Commodity & energy trading strategies; Statistical arbitrage