Peter Jaeckel (Peter Jäckel) is a

mathematician A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, mathematical structure, structure, space, Mathematica ...

, finance professor and market practitioner. He is the managing director of OTC Analytics. He also teaches at the Certificate of Quantitative Finance (CQF, FitchLearning) programme and at

Oxford University The University of Oxford is a collegiate research university in Oxford, England. There is evidence of teaching as early as 1096, making it the oldest university in the English-speaking world and the second-oldest continuously operating u ...

. Previously, he was a managing director (Deputy Head of Quantitative Research) at VTB Europe (Frankfurt) and

VTB Capital VTB Capital () is a Russian investment bank. It is one of the three strategic business arms of VTB Group, along with the corporate and retail businesses. VTB Capital has been ranked among the top investment banks in Russia, the CIS and Central ...

(London). Before that, Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics at ABN Amro, and also held several positions at

Nikko Securities SMBC Nikko Securities Inc. (SMBC日興証券株式会社) is a securities firm in Japan which engages in the operation of large-scale comprehensive securities broking and trading services. The company was founded in 2009 and is headquartered in ...

NatWest National Westminster Bank, trading as NatWest, is a major Retail banking, retail and commercial bank in the United Kingdom based in London, England. It was established in 1968 by the Corporate merger, merger of National Provincial Bank and We ...

(

Royal Bank of Scotland The Royal Bank of Scotland Public Limited Company () is a major retail banking, retail and commercial bank in Scotland. It is one of the retail banking subsidiaries of NatWest Group, together with NatWest and Ulster Bank. The Royal Bank of Sco ...

group), and

Commerzbank The Commerzbank Aktiengesellschaft (shortly known as Commerzbank AG or Commerzbank ) is a European Financial institution, banking institution headquartered in Frankfurt am Main, Hesse, Germany. It offers services to private and entrepreneurial c ...

Securities' product development group. He is the author of the

bestselling A bestseller is a book or other media noted for its top selling status, with bestseller lists published by newspapers, magazines, and book store chains. Some lists are broken down into classifications and specialties (novel, nonfiction book, coo ...

''Monte Carlo methods in finance'' (

John Wiley and Sons John Wiley & Sons, Inc., commonly known as Wiley (), is an American multinational publishing company that focuses on academic publishing and instructional materials. The company was founded in 1807 and produces books, journals, and encyclop ...

, ). In mathematics, he has made important contributions to the field of

Sobol sequence Sobol’ sequences (also called LPτ sequences or (''t'', ''s'') sequences in base 2) are a type of quasi-random low-discrepancy sequence. They were first introduced by the Russian mathematician Ilya M. Sobol’ (Илья Меерови ...

s; while in

Mathematical Finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that req ...

, he has been influential in the development of

Monte Carlo methods in finance Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the di ...

, and has also contributed, to the

LIBOR market model The LIBOR market model, also known as the BGM Model (Brace Gatarek Musiela Model, in reference to the names of some of the inventors) is a financial model of interest rates. It is used for pricing interest rate derivatives, especially exotic deriva ...

, and volatility modelling. Jäckel received his D. Phil. in

Physics Physics is the scientific study of matter, its Elementary particle, fundamental constituents, its motion and behavior through space and time, and the related entities of energy and force. "Physical science is that department of knowledge whi ...

from

in 1995.

References

External links

Profile

Mathematical Institute, University of Oxford The Mathematical Institute is the mathematics department at the University of Oxford in England. It is one of the nine departments of the university's Mathematical, Physical and Life Sciences Division. The institute includes both pure and app ...

.
Selected documents by Peter Jäckel
jaeckel.org 21st-century British mathematicians Living people Monte Carlo methodologists Financial economists Alumni of the University of Oxford Academics of the University of Oxford Year of birth missing (living people) {{economist-stub