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Julien Hok
Quantitative Analyst at INVESTEC Bank

Profile

Julien Hok holds a PhD in financial mathematics from Ecole Polytechnique France.

He started as a quantitative analyst in equity at Santander in London for 6 years and worked at Citi Group for 2 two years at London in interest rates. After, he joined CA-CIB as quantitative analyst in the hybrid desk at London for 4 years. Currently he has joined INVESTEC Bank as quantitative analyst for the Equity derivatives desk at London.

Main research topics:

a. perturbation methods to obtain approximation pricing formulas
for exotic and hybrid products in equity/FX/Interest rates.
b. Option pricing by polynomial expansion of density function.
c. Calibration of local volatility model with stochastic rates by PDE approach.
d. Quasi Monte Carlo method for pricing and risk management.

Agenda Sessions

  • Pricing of Digital exotic Options by Monte Carlo

    09:00