In mathematics, he has made important contributions in the field of Sobol sequences; in Mathematical Finance, he has been influential in the development of Monte Carlo methods in finance, and has also contributed, i.a., to the LIBOR market model, and to volatility modelling.
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Previously, he was Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics at ABN Amro, and also held positions at Nikko Securities, NatWest (Royal Bank of Scotland group), and Commerzbank Securities' product development group.
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