Black 76: 40 Years Later
Black 76: 40 Years Later
Dr. Suiunbek Ibraev
Head of Market Risk Quants
OCBC Bank
Dr. Ibraev has more than 15 years of investment banking experience. He worked in Frankfurt, London and Singapore as a front office quant in Dresdner Kleinwort, Commerzbank, VTB Capital, ANZ specialising in interest rates and foreign exchange exotics. Models developed by Dr. Ibraev had been used for real time pricing, hedging and risk management. He is in charge of analytics and market price control in market risk management department at OCBC Bank. Dr. Ibraev oversees model validation and risk methodologies, e.g. VaR and CRE. He holds PhD in Global Optimisation from University of Wuppertal, Germany.
Overview
- Financial Markets
- Empirical distribution
- Log-normal approximation
- Industrial usage
- Going beyond log-normal
- Log-normal: too early to retire
For enquiries, please contact: Yati Kum , 6516 4595, rmink@nus.edu.sg