Peter Jaeckel

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 sequences. He is the author of the book Monte Carlo methods in finance.

He holds a PhD in Physics from Oxford University, and teaches there.^[1] Jaeckel has worked on the LIBOR market model.

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.^[2]

References

^ http://www.maths.ox.ac.uk/prospective-students/graduate/courses/finance/courses/teaching-staff#jaeckel
^ http://www.awdz65.dsl.pipex.com/ThePracticalitiesOfLiborMarketModels.pdf

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