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Keldon Drudge
VP, head of Quantitative Analytics Group
Keldon Drudge is the Head of the Quantitative Analytics Group atIHS Markit.
Background

Keldon began his career as a quantitative analyst for TD Securities in Toronto and then London, eventually leading the team which developed and maintained the pricing and risk models for the structured interest rate business. After leaving TD in 2006 he co-founded and served as CEO of Prism Valuation, an independent valuation firm focused primarily on offering valuation and workflow solutions for hard to value and structured financial instruments across all asset classes. He has been with IHS Markit since July 2016 when the company acquired Prism. Keldon holds a Ph.D. in pure mathematics from Western University (Canada) and a Master's of Financial Mathematics from University of Waterloo (Canada).

IHS Markit’s Quantitative Analytics Group develops and maintains the models used in the Portfolio Valuations, OTC Derivative Data, and several other IHS Markit services. These services cover all asset classes of derivatives – interest rates, equity, inflation, FX, commodity and hybrids. QAG is also involved in the validation of quantitative models both internally and externally.

Industry expertise
Financial Services
Financial Risk
Over-the-Counter (OTC) Derivatives
Areas of interest
Autocallables
Dividend and Equity Derivatives
Black-76 Model
Cliquets
Equity Options
Exotic Derivatives
Fair Value
Financial Market Data
Financial Model Validation
Forwards
Foreign Exchange (FX) Derivatives
Inflation Swaps
Initial Margin
Interest Rate Derivatives
Interest Rate Swaps
Bermudans
Independent Price Verification (IPV)
Options
Put-Call Parity
SR 11-7
Swaptions
Valuation Methodology
Valuation Policy
Variance Swaps
Inflation
Quantitative Research
Valuation Process
Volatility
Data Commercialization
Interest Rate Volatility
Regional focus
Global
Languages
English
US$1000
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