Derivatives Models on Models

Peter Jäckel on Monte Carlo Simulation

Peter Jäckel is Global Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics at ABN AMRO, he has also worked in quantitative research for Nikko Securities, Royal Bank of Scotland and Commerzbank Securities. Doctor Jäckel has published a great book entitled “Monte Carlo Methods in Finance” (2002), I hope we will see a second edition before too long.

Haug : Where did you grow up?

Jaeckel : Darmstadt, Germany.

Haug : When did you first become interested in mathematics and quantitative finance?

Jäckel : As for mathematics, probably as soon as I could grasp the concept of numbers. Quantitative Finance was more of a chance event – I was thinking about leaving academic research in theoretical physics and spoke to some recruitment agencies who suggested to me to go for some interviews in the City of London.

Haug : What is your educational background?

Jäckel : Physics, specifically Nonlinear Dynamics and Bifurcation Theory in applied Theoretical Physics. First degree from Darmstadt, D. Phil. from Oxford.

Haug : What is the origin of the name Monte Carlo simulation, did it come from the casinos of Monte Carlo?

Jäckel : Nicholas Metropolis is said to have come up with the term, in allusion to his colleague Stanislaw Ulam's liking of Poker and other card games. Both worked with John von Neumann on the Manhattan project. The method itself is said to have been conceived by Stanislaw Ulam who, in 1946, likened the calculation of a solitaire ...