[作者简介]
Dr. Daniel Bloch is the founder of Quant Finance Limited, a structuring company focusing on statistical arbitrage on stocks and futures and options relative value as well as derivatives pricing and risk management.
He has 20 years’experience in modeling equity, foreign exchange and interest rates on the exotic option trading desk of various investment banks across the world. Being senior quant in leading banks such as Dresdner and Barclays Capital, he was the former global head of the Equity Quant team at Mizuho in Tokyo and ANZ in Hong Kong. Getting exposure to markets around the world, he was leading teams of quants responsible for the development and implementation of the pricing library, encompassing equity and hybrid exotic derivatives.
Dr. Bloch is a graduate of the University of Oxford where he got an MPhil in applied mathematics writing a thesis with Paul Wilmott on the theory of options pricing. He extended his interest in stochastic calculus by obtaining a PhD in probabilities from the University of Paris 6 with Nicole El Karoui. He has published a range of articles in Wilmott Magazine, Wilmott Journal, Risk Magazine and Energy Risk, making him ideally placed to advise, train and consult on quantitative issues related to advanced, exotic and structured derivatives.
” Daniel Bloch developed a new parametric interpolation and extrapolation of the implied volatility surface to prevent arbitrage both in space and time. This simple model, intended to be used by practitioners, allows an analytical computation of the Greeks, the Skew and the Curvature of the fitted implied volatility surface. ”
--- Paul Wilmott
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