Matthieu Mariapragassam

Matthieu Mariapragassam is a Quantitative Researcher in derivatives pricing with industry experience in financial institutions and technology companies. He has worked on a variety of quantitative subjects including mathematical models, numerical methods, as well as exotic products used in foreign-exchange, commodity and equity markets.

He holds a PhD in Mathematics from the University of Oxford, where his main research topic was the calibration to barrier options for local-stochastic and path-dependent volatility models and its application to exotic derivatives pricing.

Articles by Matthieu Mariapragassam

Original research

Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options

In this paper, the authors consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options.

26 Mar 2021

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here