Jherek Healy

Jherek Healy has been consulting in quantitative finance for various banks, hedge funds and software vendors for the past 12 years. He is also the author of the book "Applied Quantitative Finance for Equity Derivatives" and his main interests are practical models and techniques to price and risk manage financial derivative contracts.

Articles by Jherek Healy

Original research

Pricing American options under negative rates

This paper derives a new integral equation for American options under negative rates and shows how to solve this new equation through modifications to the modern and efficient algorithm of Andersen and Lake.

12 Aug 2021

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