Frontiers in Finance
http://www.frontiers-in-finance.com/
is pleased to inform you of a forthcoming
Workshop on
Model Calibration and Stochastic Volatility Models.
http://www.fiquam.polytechnique.fr/finance/london.html
London, Friday June 9, 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 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
implied volatility surfaces for equity options; the afternoon session will
be devoted to exotic options and
interest rate derivatives and hedging issues.
The workshop will consist of 4 pedagogical talks aiming at introducing
new developments in calibration methods to participants.
Each talk will last 1h15min and will be followed by a discussion
session. The morning talks will focus on equity derivatives and the
afternoon talks on interest rate derivatives and exotic options.
* Topics covered are:
Model Calibration
Implied volatility surfaces.
Stochastic volatility models.
Implied volatility smile calibration.
Asymptotic expansions of pricing PDEs.
Delta, Gamma and Vega hedging.
* Speakers:
Rama CONT (Ecole Polytechnique, France)
Historical and implied methods for calibration of
implied volatility surfaces.
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.
For more details on the programme see:
http://www.fiquam.polytechnique.fr/finance/london.html
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* Practical information:
The workshop will be held at the
London Hilton, 22 Park Lane, London, Great Britain Tel:44/020/7493-8000,
Fax:44/020/7208-4140
A map is available on:
http://www.hilton.com/hotels/LONHITW/map_large.html
* Registration :
To registrer, send the registration form
http://www.fiquam.polytechnique.fr/finance/inscription4.html
along with your payment before May 28, 2000 to
Frontieres en Finance
CMAP - Ecole Polytechnique
F-91128 Palaiseau , France.
* Registration fees:
Professionals : 8000 FRF / 1220 Euros.
Member institutions of Frontières en Finance: 5600 FRF / 854 Euros.
Full time PhD students and academics: special rates apply.
Registration includes : courses, lunch, coffee breaks and
books/ documents related to the course.
* Information:
For more information contact: [log in to unmask]
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