
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.
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Articles by Matthieu Mariapragassam
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.