Ignacio Luján Fernández

Santander Bank

Ignacio holds a B.A. and an M.Sc. in Mathematics, and a PhD in Differential Geometry. He also holds the FRM certificate from GARP. He started working at Arfima Trading as a Quant. In 2016 he joined the XVA quant team at BBVA’s Front Office. Since 2018 Ignacio is part of the Model Risk area at Santander Bank, where he is involved in the validation of Front Office pricing models.

Articles by Ignacio Luján Fernández

Original research

Pricing the correlation skew with normal mean–variance mixture copulas

The author puts forward a pricing methodology for European multi-asset derivatives that consists of a flexible copula-based method that can reproduce the correlation skew and is efficient enough for use with large baskets.

21 Sep 2022

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