SciComp SLV Calibrator

Coming to a Wall Near You!

I just did a photoshoot for Portfolio magazine with the great Jason Bell (photographer to the stars!). He and his team of three (yes, three!) assistants set me up for all sorts of glam shots around London. There was even a, thankfully short-lived, plan to reproduce the famous American Beauty scene of Mena Suvari with rose petals, but with me and pages from the magazine instead!

I'm mentioning this here because the shoot took us to Farringdon where I was photographed defacing a wall with quant finance. If you happen to be in the neighbourhood (near the Guardian's offices) the equations may still be there, so you'll get to see a model for jump-diffusion with stochastic volatility, with optimal static and dynamic hedging with friction before it is published in the more traditional medium!

P