Piotr Karasinski
Piotr Karasinski is a pioneering quantitative analyst, best known for the Black–Karasinski short rate model which he co-developed with the late Fischer Black. His contributions to quantitative finance include models for interest rates, equity and hybrid products[1] and random volatility.[2]
He is currently Senior Advisor at the European Bank for Reconstruction and Development. He is on the editorial board of the journal, Quantitative Finance. [1] Previously, he has held a number of positions at leading firms in New York and London including: Managing Director at HSBC, Director and Head Derivatives Research at Citibank, MD at Chemical Bank, Director at Deutsche Bank and Vice President at Goldman Sachs.
He studied physics at Warsaw University (MSc 1978) and earned his PhD at Yale University (1984).
References
- ^ Derman, Emanuel. "Emanuel Derman" (PDF). Ederman.com. Retrieved 4 December 2017.
- ^ DeRosa, David F. (7 September 1998). "Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications". John Wiley & Sons. Retrieved 4 December 2017 – via Google Books.
External links
- Biography, Global Association of Risk Professionals[dead link]
- profile, Mathematical Institute, University of Oxford (subscription required)
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