Luis is a lecturer of Quantitative Finance at the University of Barcelona. He obtained his PhD in Mathematics from the Polytechnic University of Catalonia. His fields of research are Computational Finance and Quantitative Risk Management, with particular interests on wavelets-based methods for option pricing and aggregate risk measurement. He led the Financial Mathematics and Risk Control research group at the Centre de Recerca Matemàtica and carried out research stays at the CWI in the Netherlands as well as in the School of Mathematics and Physics at the University of Queensland in Australia. Before he moved into academia, he spent some years working on quantitative projects in several private firms within the fields of information technology, business and finance.
This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.