Julien Hok holds a PhD in financial mathematics from Ecole Polytechnique France. He started as a quantitative analyst in equity at Santander in London for 6 years and worked at Citi Group for 2 years at London in interest rates. After that, he joined CA-CIB as quantitative analyst in the hybrid desk at London for 4 years. Currently, he is a front office quantitative analyst manager and responsible for Equity and FX Derivatives desk at INVESTEC Bank.
The authors propose a randomized quasi-Monte Carlo method which outperforms both the Monte Carlo and standard quasi-Monte Carlo methods.