Séminaire de l'enseignement technique : Physicists in the world of finance

Monday 27 February
from 14:00 to 16:00, Council Chamber (bldg. 503)

Physicists in the world of finance
Oliver Cooke, Zhengyun Hu / LEHMAN BROTHERS (UK)

Two PhD physicists will talk about their experiences of working in investment banking, describing what investment banks do and the jobs which attract physicists and engineers. They will introduce the derivatives markets, and explain the need for advanced modelling. In particular, they will present the many modelling techniques used, including Monte Carlo simulation, solving PDEs, stochastic calculus and data analysis. They will describe a typical day for a physicist in the world of finance, and present a case study in which they will show how they used an idea from physics to solve a finance problem.

After a PhD and CERN fellowship on OPAL in the 1990s, Oliver Cooke moved to finance. He was initially a mathematical modeller of derivatives, and now is an exotic derivatives trader at Lehman Brothers in London. He will be joined by Zhengyun Hu who runs Fixed Income quantitative research at Lehman Brothers in London, and has a PhD in Fluid Mechanics from Imperial College, London.

Language: English. Free seminar (no registration). Organiser: Davide Vitè / HR-PMD / 75141.
For more information, please visit the Technical Training Seminar webpage at http://www.cern.ch/TechnicalTraining/special/TTseminars.asp


par Davide Vitè