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QuantMinds International
7 - 10 November, 2022
W Barcelona

Colin Turfus
Senior Quantitative Analyst at Deutsche Bank


Colin Turfus has worked for the last seventeen 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 Wiley Finance monograph on Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management and for the last eight years has been working in Model Risk Management at Deutsche Bank.

He ran lecture courses 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. He has published numerous scholarly articles in all of these areas, as well as more recently in quantitative finance.


Agenda Sessions

  • Analytic Implied Volatility for RFR Options with Smile and Skew