Dear all,
more info on this course.
giulia
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KING'S COLLEGE LONDON
DEPARTMENT OF MATHEMATICS
Short Course on
The Mathematical Theory of Interest Rate Models
13-14 September 2000
The Centre for Financial Mathematics
at King's College London will conduct a two-day course on
The Mathematical Theory of Interest Rate Models on
Wednesday 13 September and Thursday 14 September.
The course directors are Professor Lane P. Hughston and Dr
Mihail Zervos.
This course is addressed to practitioners who want to
enhance their understanding of the subject and have had
some previous basic exposure to interest rate models
and the market conventions for interest-rate related
instruments. Some knowledge of basic stochastic calculus
and the Black-Scholes theory will be assumed.
The fee for the course is £800. For registration details,
see below.
The programme of the course consists of 12 hours of
specialised lectures, as follows:
Day 1. General Theory of Interest Rate Dynamics
9.30-11.00 Review of the theory of Brownian motion.
Stochastic integrals. Itô processes. Martingales and
related processes. Martingale representation theorem.
11.00-11.30 Coffee
11.30-1.00 Stochastic dynamics for a single risky asset.
No arbitrage condition. Derivatives hedging and
replication. Change of measure, Girsanov's theorem, risk
neutral valuation.
1.00-2.00 buffet lunch
2.00-3.30 Stochastic dynamics for multiple risky assets.
Conditions for no arbitrage and for market completeness.
Existence and uniqueness of risk premium vector. Martingale
measures. Pricing kernel and natural numeraire.
3.30-4.00 Coffee
4.00-5.30 Discount bonds and interest rates. Market
conventions. Positive interest conditions. Forward rates
and swap rates. Price processes for discount bonds,
no-arbitrage and market completeness conditions.
Heath-Jarrow Morton (HJM) framework. Valuation of interest
rate derivatives.
Day 2 morning. Review of Specific Interest Rate Models
9.30-11.00 Theory of Gaussian interest rate models,
including the Vasicek model and the Hull-White model.
Theory of affine interest rate models, including the
Cox-Ingersoll-Ross model and its extensions.
11.00-11.30 Coffee
11.30-1.00 Review of the Flesaker-Hughston framework,
including the rational log-normal model and its extensions.
Brace-Gatarek-Musiela (BGM) models and their applications.
1.00-2.00 buffet lunch
Day 2 afternoon. Extensions of the HJM theory
2.00-3.30 The Amin-Jarrow framework for multi-currency
interest rate dynamics. Geometric analysis of foreign
exchange volatility and correlation. International models
for interest rates and foreign exchange.
3.30-4.00 Coffee
4.00-5.30 Hazard-rate models for the valuations of
credit-risky debt obligations and credit derivatives.
Lando's formula for risky discount bonds. Duffie-Singleton
formula for risky bonds with recovery.
N.B. Some details of the syllabus are likely to change.
REGISTRATION
For up to date information about this course as well as
other events, see:
http://www.mth.kcl.ac.uk/research/finmath/index.html
You may register by filling out the information below, and
sending it to the address indicated.
___________________________________________________________
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Registration Form
Short Course on
The Mathematical Theory of Interest Rate Models
13-14 September 2000
Centre for Financial Mathematics
King's College London
Full name, with title:
Institution and full mailing address:
Email:
Telephone:
Tell us a little about your background and the nature of
your current work:
____________________________________________________________
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Please enclose a UK cheque for 800 pounds made payable to
"King's College London", and labelled "Short course on
Interest Rate Models". The Registration form and cheque
should be sent to:
The Departmental Administrator
Mathematics Department
King's College London
The Strand
LONDON WC2R 2LS, UK
tel. 44 020 7848-2216
fax. 44 020 7848-2017
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