Frontiers in Finance
http://www.fiquam.polytechnique.fr/finance/
is pleased to inform you of a forthcoming
Workshop on
Calibration Methods for Option Pricing Models
http://www.fiquam.polytechnique.fr/finance/calibration.html
Paris, Friday March 17, 2000.
9 Am - 6 PM.
Although the calibration of parameters constitutes an important step
in the implementation of option pricing models, little attention had
been paid to this critical issue in the literature on financial
modeling until recently. This one-day intensive training session is
aimed at presenting some new developments on this topic to practitioners
and academic researchers. The morning session will be devoted to
calibration of stochastic volatility models for equity options;
the afternoon session will be devoted to exotic options and
interest rate derivatives.
* Topics covered are:
Stochastic volatility models.
Implied volatility smile calibration.
Asymptotic expansions of pricing PDEs.
Numerical procedures for derivative pricing.
Calibration of term structure models.
Delta, Gamma and Vega hedging.
* Speakers:
Jean Pierre FOUQUE (North Carolina State University)
A New Approach to Stochastic Volatility I: Theory
Ronnie SIRCAR (University of Michigan)
A New Approach to Stochastic Volatility II:
Empirical data, calibration methods and hedging strategies.
Raphael DOUADY
(Centre de Mathematiques et de Leurs Applications,
Ecole Normale Superieure de Cachan).
Calibration of interest rate models.
* Programme: see
http://www.fiquam.polytechnique.fr/finance/calibration.html
* Registration form :
http://www.fiquam.polytechnique.fr/finance/inscription3.html
Deadline for registration: March 9, 2000.
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