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6 - 9 December 2021
Hotel ArtsBarcelona

Sergei Kucherenko
Senior Research Fellow at Imperial College London


Sergei Kucherenko has got his MSc degree and PhD in applied mathematical physics from Moscow Engineering Physics Institute in Russia. He held a number of research and faculty positions in various universities in Russia, the United States, the UK and Italy. He also worked in investment banking. Currently he holds a position of Senior Research Fellow at Imperial College London. He also provides consultancy services via a company BRODA Ltd. to investment banks and financial companies in the area of MC and Qausi MC simulation and other advanced numerical techniques used in quantitative finance.

Agenda Sessions

  • Pricing and risk analysis in hyperbolic local volatility model with quasi Monte Carlo