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QuantMinds International
7 - 10 November, 2022
W Barcelona

Luca Capriotti
Managing Director - Global Head Quantitative Strategies Credit at Credit Suisse

Profile

Luca Capriotti is a Managing Director at Credit Suisse, based in London, where he works in Quantitative Strategies and he is responsible globally for Credit and Financing, Structured Notes, Corporate Bank and Treasury. Previous to this role, he was EMEA and US head of Quantitative Strategies Global Credit Products, he has worked in Credit and Commodities Exotics in New York and London.

Luca is also visiting professor at the Department of Mathematics at University College London. His current research interests are in the field of Credit Models and Computational Finance, with a focus on efficient numerical techniques for Derivatives Pricing and Risk Management, and applications of Adjoint Algorithmic Differentiation (AAD) for which he holds a US Patent. Luca has published over 60 scientific papers, with the top 3 papers collecting to date over 700 citations (h factor 22).

Luca holds a M.S. cum laude in General Physics from University of Florence, and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste.

Luca Capriotti's Network

Agenda Sessions

  • From quantum to quantos: path integral approximations for fast semi-analytical pricing of zero coupon bonds, options and quantos

    11:40
  • Everything You Always Wanted to Know About AAD But Were Afraid to Ask

    17:40