Matthieu Mariapragassam

Matthieu Mariapragassam is a Quantitative Researcher in derivatives pricing with industry experience in financial institutions and technology companies. He has worked on a variety of quantitative subjects including mathematical models, numerical methods, as well as exotic products used in foreign-exchange, commodity and equity markets.

He holds a PhD in Mathematics from the University of Oxford, where his main research topic was the calibration to barrier options for local-stochastic and path-dependent volatility models and its application to exotic derivatives pricing.

Articles by Matthieu Mariapragassam

Original research

Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options

In this paper, the authors consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options.

26 Mar 2021