Co-Founder and COO, Clarus Financial Technology
Gary co-founded Clarus, a fintech company operating in the capital markets providing hosted data, analytics and research services to its customers who include leading investment banks, hedge funds, brokers, and regulators in the US, UK and Europe. He is a quantitative analyst with more than 15 years experience in OTC derivatives and technology. His prior positions include Principal Financial Engineer at Calypso technology and Senior Quantitative Analyst at Sungard Trading and Risk. He started his career at First Derivatives after graduating with an honours degree in Mathematics from Queens University Belfast, and a PhD. in Pure Mathematics also from Queens.
This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.