ALIREZA JAVAHERI

Instructor since 2011

ALIREZA JAVAHERI
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Alireza Javaheri is the Global Head of Equity Derivatives Quantitative Research at Credit Suisse.  He has been working since 1994 in the field of derivatives quantitative analysis in various investment banks including J.P. Morgan, Goldman Sachs and Citigroup.  He holds an M.Sc. in Electrical Engineering from Massachusetts Institute of Technology and a Ph.D. in Finance from Ecole des Mines de Paris. He is also a CFA charter holder.  He has authored several quantitative finance papers on the subject of volatility, including articles with Peter Carr, Paul Wilmott and Espen Haug.  His book “Inside Volatility Arbitrage” was elected the quantitative finance book of the year by Wilmott magazine.

SELECTED PUBLICATIONS
he Forward PDE for European Options on Stocks with Fixed Fractional Jumps (March 2005)

Alireza Javaheri and Peter Carr

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Chapter 25: Inference and Stochastic Volatility (2005)

Alireza Javaheri

Volatility Estimation via Chaos Expansions (2005)

Alireza Javaheri

GARCH and Volatility Swaps (2004)

Alireza Javaheri

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Going Beyond the LIBOR Model (2004)

Alireza Javaheri

The Volatility Process: A Study of Stock Market Dynamics via Parametric Stochastic Volatility Models and a Comparison to the Information Embedded in the Option Price (2004)

Alireza Javaheri

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nside Volatility Filtering: Secrets of the Skew (2015)

Alireza Javaheri

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