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David García-Lorite

CaixaBank

David García Lorite works as Quantitative Analyst at CaixaBank, with more than sixteen years of experience in the financial industry. He has worked in various places like Madrid, London, and Barcelona. During his career, David held positions in various institutions, specializing in hybrid derivatives. His expertise extends to developing and implementing a wide range of quantitative and non-quantitative libraries across multiple programming languages, demonstrating his strong computational abilities.

Apart from his professional work, David is also pursuing a Ph.D. at the University of Barcelona under the supervision of Professor Elisa Alós. His doctoral research focuses on applying Malliavin calculus to financial modeling. He is co-author of a book on this topic with Professor Alós. David has published research on topics such as skew behavior in VIX and the use of Malliavin and Watanabe calculus to analyze convexity in interest rate derivatives.

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Articles by David García-Lorite

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