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Colin Turfus
Quantitative Analyst at Deutsche Bank


Colin Turfus has worked for the last sixteen years as a financial engineer, investigating models for interest rate and credit derivatives and for counterparty risk. He is the author of a recently published monograph on Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management and is currently working in Model Risk Management at Deutsche Bank. He lectured on C++ and Financial Engineering at City University, London for seven years. Prior to that Colin worked as a developer consultant in the mobile phone industry after an extended period in academia, teaching applied maths and researching in fluid dynamics, turbulent dispersion and astronomy.

Agenda Sessions

  • Semi-Analytic Cap Pricing post-LIBOR with Smile and Skew