FRONTIERES EN FINANCE
http://www.frontiers-in-finance.com/
has the pleasure of announcing a one-day
Workshop on
Interest rate models: theory and implementation.
Paris, Friday May 31, 2002, 8:30 - 18:00.
Journée :
Modèles de taux d'intérêt: théorie et implémentation.
Paris, Vendredi 31 Mai 2002.
http://www.fiquam.polytechnique.fr/finance/31052002.html
The aim of this one day workshop is to present a state of the
art summary of modeling strategies and numerical methods for
interest rate derivatives, with particular emphasis on LIBOR
market models and implementation methods, for a public of
practitioners and academic researchers.
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Exposés / Talks:
Lane HUGHSTON ( King's College, London)
Entropy and information geometry in interest rate modeling.
Antoon PELSSER
(Asset Liability Management, Nationale Nederlanden
& Econometrics Institute, Erasmus University )
Using historical and implied covariances in LIBOR market
models: an empirical comparison.
Rama CONT ( CNRS - Ecole Polytechnique ).
Calibration of LIBOR market models: an overview.
Alexandre d'Aspremont (Stanford University, USA).
Calibration of BGM models by semidefinite programming.
Lixin WU ( Hong Kong University of Science & Technology )
Optimal Calibration methods for LIBOR market models.
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Inscription / Registration:
To register, fill out and send us the registration form
http://www.fiquam.polytechnique.fr/finance/ins31052002.html
with your payment or proof of bank transfer before 22 May,
2002. E-mail registration is not accepted. PhD students should
include a letter describing their subject of research.
More information is available on our website:
Des renseignements sont disponibles sur notre site Web:
http://www.fiquam.polytechnique.fr/finance/31052002.html
or by email from: [log in to unmask]
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