Peter Jaeckel
Encyclopedia
Peter Jaeckel is a mathematician
who has influenced the development of the use of Monte Carlo
methods in Mathematical Finance
. Dr. Jaeckel has served as Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics at ABN Amro
and has made important contributions in the field of Sobol sequence
s. He is the author of the book Monte Carlo methods in finance.
He holds a PhD in Physics
from Oxford University, and teaches there. Jaeckel has worked on the LIBOR market model
.
Peter Jäckel (2002). Monte Carlo methods in finance. John Wiley and Sons. ISBN 0-471-49741-X.
The practicalities of Libor Market models.
Mathematician
A mathematician is a person whose primary area of study is the field of mathematics. Mathematicians are concerned with quantity, structure, space, and change....
who has influenced the development of the use of Monte Carlo
Monte Carlo
Monte Carlo is an administrative area of the Principality of Monaco....
methods in Mathematical Finance
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
. Dr. Jaeckel has served as Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics at ABN Amro
ABN AMRO
ABN AMRO Bank N.V. is a Dutch state-owned bank with headquarters in Amsterdam. It was re-established, in its current form, in 2009 following the acquisition and break up of ABN AMRO Group by a banking consortium consisting of Royal Bank of Scotland Group, Santander and Fortis...
and has made important contributions in the field of Sobol sequence
Sobol sequence
Sobol sequences are an example of quasi-random low-discrepancy sequences. They were first introduced by I.M.Sobol'In Cyrillic as "Илья Меерович Соболь", as per...
s. He is the author of the book Monte Carlo methods in finance.
He holds a PhD in Physics
Physics
Physics is a natural science that involves the study of matter and its motion through spacetime, along with related concepts such as energy and force. More broadly, it is the general analysis of nature, conducted in order to understand how the universe behaves.Physics is one of the oldest academic...
from Oxford University, and teaches there. Jaeckel has worked on the LIBOR market model
LIBOR Market Model
The LIBOR market model, also known as the BGM Model , is a financial model of interest rates...
.
Publications
Additional Primitive Polynomials Modulo 2 of Low Degree, Numerical Recipes http://www.nr.com/contrib/Peter Jäckel (2002). Monte Carlo methods in finance. John Wiley and Sons. ISBN 0-471-49741-X.
The practicalities of Libor Market models.