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Self-Taught Quant (guest: Harel Jacobson)

The Market Huddle

CHAPTER

How to Generate Volatility Surface Models

In 2006, a big portfolio manager at one of the prop companies in Israel heard of me and asked me whether I want to join his team as a quant strategist. Two weeks later, Lehman and brother goes past. So yeah, this was my welcome present joining the markets. Yeah. And this actually goes with me for the rest of my career because then you'll see what happens next. 2008 was my welcome party to the market. Market was like all over the place, went into a limbo. You saw like crazy moves in the market. Like Australian dollar moving like 10% a day and like Canadian dollar like the loony moving like crazy. This is what I get when I start

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