Jonathan Rosen, Ph. D.

Jonathan Rosen specializes in applying advanced quantitative methods and artificial intelligence to financial modeling, with a focus on equity derivatives and volatility modeling. His work includes the optimization of equity volatility surfaces, calibration of local volatility models under realistic market constraints such as bid/ask spreads, and the acceleration of quantitative models using GPU-based techniques. He holds a PhD in physics from the University of British Columbia, where he developed deep expertise in mathematical modeling and computational methods. Dr. Rosen's work has also contributed to industry efforts around the LIBOR transition, including research on SOFR futures convexity adjustments analogous to Eurodollar futures, published on SSRN.