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Gabriele Pompa's user avatar
Gabriele Pompa's user avatar
Gabriele Pompa's user avatar
Gabriele Pompa
  • Member for 9 years, 8 months
  • Last seen more than a month ago
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About

I am a Front-Office Quant (contractor). Got MSc in Th.Phys. from Rome "La Sapienza" and PhD from IMT Lucca on SPX and VIX derivatives: Deterministic shift extension of affine models for variance derivatives

Looking for permanent opportunities in London. Please, check my LN: https://www.linkedin.com/in/gabrielepompa/ and feel free to contact me. Thanks.

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Top posts
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10
conditional expectation of stochastic integral
Dec 29, 2020
8
Calibration of nested pricing models consistently on two different classes of derivatives
Dec 13, 2014
5
VIX options historical data
Dec 24, 2014
5
CIR model: is the short rate really non-central $\chi^2$ distributed?
Jan 6, 2015
4
conditional expectation of stochastic integral
Jan 2, 2021
3
FTAP wih Heston Model
Jul 21, 2016
3
VIX Futures data: why happen to have settle price > 0 and Volume = O.I. = 0
Mar 2, 2015
3
Do we need Feller condition if volatility process jumps?
Dec 16, 2014
2
VIX-implied Volatility calculator
Dec 20, 2014
2
exercise on multivariate Ito's lemma + jumps (Poisson)
Feb 14, 2018
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8
Parsing a tweet to extract hashtags into an array
7
is it possible to embed an interactive IPython Notebook in my website/blog?