Financial Engineering Workshop - Norberto Laghi (OCBC Bank)

Norberto Laghi is Quantitative Analyst at OCBC Bank. He will be giving an online seminar titled "Exotic Options and Fourier Transforms: the Story is Far from Over" on Wednesday 23rd February 2022 from 18:10 - 19:15.

Abstract
In this talk we show how ideas from Hurd and Zhou may be generalised to derive Fourier transform based semi-analytic formulae for some rainbow options; this continues a long line of investigations which was started around 30 years ago by Heston and still holds great promise for the future.

Bio
Norberto Laghi is a quantitative finance practitioner with significant experience in the asset management and investment banking sectors. Dr. Laghi has received a PhD in mathematics from the University of Wisconsin-Madison, after which he spent over 4 years as a postdoctoral researcher in the School of Mathematics at The University of Edinburgh. He then moved to the private sector, where he carried out research in a diverse range of topics such as quantitative portfolio construction and derivative pricing, all the while looking for ways to apply his favorite Fourier Analysis techniques.

The Financial Engineering Workshop will take place online via Zoom.

To access the link to the online seminar, please register before 2pm on the day of the seminar otherwise you will not be given access.

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