Antonie is an independent derivatives pricing, valuation and model validation expert and financial engineer. His expertise includes all financial derivatives, market and credit risk, Basel II/III and IFRS 9 expected credit losses.
Antonie holds a Ph.D. in Theoretical/Mathematical Physics from the University of the Witwatersrand (South Africa) where Quantum Chaos Theory was his field of interest. With more than 22 years’ experience as a quantitative analyst and financial engineer in the South African and African financial and derivatives markets, he is a renowned expert in financial mathematics, modelling, software development and training.
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option pricingblack and scholesfinancial marketsvolatilityoptionssingle name futureshedge fundbondscoupon bearing bondsvolatility surface. volatility smile. skewwarrantscall spreadpayoff diagramsltcmblack & scholescorporate financeskewexotic optionsdeterministic volatility functioncapital marketstradingcredit riskrisk managementfinancial intermediationderivativessovereign defaultsdiffusionjse/ftse top 40 indexlocal volatilityheat equationjoseph fouriersafeximplied volatilitybarrier optionsyield curvetime value of moneyhedgingvolatility smile
Antonie is an independent derivatives pricing, valuation and model validation expert and financial engineer. His expertise includes all financial derivatives, market and credit risk, Basel II/III and IFRS 9 expected credit losses.
Antonie holds a Ph.D. in Theoretical/Mathematical Physics from the University of the Witwatersrand (South Africa) where Quantum Chaos Theory was his field of interest. With more than 22 years’ experience as a quantitative analyst and financial engineer in the South African and African financial and derivatives markets, he is a renowned expert in financial mathematics, modelling, software development and training.
Tags
option pricingblack and scholesfinancial marketsvolatilityoptionssingle name futureshedge fundbondscoupon bearing bondsvolatility surface. volatility smile. skewwarrantscall spreadpayoff diagramsltcmblack & scholescorporate financeskewexotic optionsdeterministic volatility functioncapital marketstradingcredit riskrisk managementfinancial intermediationderivativessovereign defaultsdiffusionjse/ftse top 40 indexlocal volatilityheat equationjoseph fouriersafeximplied volatilitybarrier optionsyield curvetime value of moneyhedgingvolatility smile
