Dr. J.H.M. Anderluh
Dr. J.H.M. Anderluh
Publicaties
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2015
Algorithmic counterparty credit exposure for multi-asset Bermudan options
S Yanbin / JHM Anderluh / JAM van der Weide
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2013
Pricing options with non-standard barrier mechanisms
JHM Anderluh / LE Meester
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2010
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2009
Double-sided parisian option pricing
JHM Anderluh / JAM van der Weide
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2008
Commodity volatility modelling and option pricing with a potential function approach
JHM Anderluh / SA Borovkova
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Short CV:
2007 - now Assistant Professor in Financial Mathematics (20%), DIAM Probability and Statistics
2007 - now Director of Fund Management company HiQ Invest (80%).
2004 - 2007 Head of Quantitative Research BinckBank N.V. (40%)
2002 - 2007 PhD Student in Financial Mathematics (60%), DIAM Probability and Statistics
2001 - 2004 Quantitative Analist AOT N.V. (Amsterdam Option Traders) (40%)
Research interest:
Application of Probability and Statistics in the world of Finance. Research topics are (i) the understanding and application of probability models in the field of equity option pricing and commodity option pricing and (ii) the valuation of optionality within investments based on the real options method.