Frank Koster works as a quant for a German fund manager.
He holds a Ph.D. in Scientific Computing/Numerical Analysis from the University of Bonn (Germany).
His first position outside academics was with Mercedes-Benz where he developed and applied simulation methods and shape optimization software for Formula-One race engines (engines with his contributions were awarded ‘Race Engine of the Year’ in 2008 and 2009).
After that he moved into Finance working for Sal.Oppenheim and MacQuarie Capital. His main areas of work are numerical methods and stochastic local volatility and correlation models for equity derivatives.
This paper develops a Monte Carlo method to price instruments with discontinuous payoffs and non-smooth trigger functions, which allows a stable computation of Greeks via finite differences.