Waleed Taoum

PhD Candidate at King's College London

Speaker

Waleed Taoum works on SOFR derivatives pricing and portfolio optimisation, and is finishing a PhD in applied mathematics at King’s College London. His research is on the pricing and hedging of interest rate derivatives in incomplete markets, when perfect replication is not possible. He builds and solves high-dimensional optimisation models and implements them in Python. His SOFR term structure model is published in Applied Mathematical Finance, and a second paper, on the optimal pricing and hedging of SOFR derivatives, is under review. He has presented this work at various conferences in Sydney, Vienna, Paris and London. Before the doctorate he spent six years running a discretionary FX and index futures book to defined position-sizing and drawdown limits.