Dear Colleague,
Interest Rate Modelling and Applications in Practice, 27-28 September 2010, London
http://www.optirisk-systems.com/events/fhir.asp
This workshop is brought to you by leading practitioners and academics and covers the following major topics of interest rate modeling:
- Popular Models, simple products.
- Introduction to technical terms, basic properties and yield curve fitting
- Short rate modelling (Popular one-factor models (Vasicek, CIR, Hull-White), general factor approach)
- Calibration Aspects
- Forward Rate Approach
- Aspects of 2-Factor-Hull-White Model
- Introduction
- Closed formulas for caps/floors and swaption prices
- Calibration
- Numerical Methods
- Pricing of Exotic Products in Practice
- Why LIBOR?
- Basic properties
- Factor reduction and calibration
- Multiple exercise products and pricing with the Longstaff-Schwartz method
- Approach to Interest and FX Derivative Pricing
The speakers:
Prof. Ralf Korn(Fraunhofer Institute for Industrial Mathematics Kaiserslautern), Dr. Jorg Wenzel(Fraunhofer Institute for Industrial Mathematics Kaiserslautern), Professor Moorad Choudhry(Former Head of Treasury Europe Arab Bank) and
Professor Chris Rogers(Cambridge Finance)
Thanks to our sponsors, there are generous bursaries available for academics and research students.
For further information, including a full calendar of events, programmes and registration fees, please either use the direct links below or follow this link; http://www.optirisk-systems.com/finance. Alternatively you can reply to this message or phone us on +(44) 1895 819 488 to enquire directly.
We do hope this information will be of interest and look forward to welcoming you to this event.
Kind Regards
Chan Mitra
OptiRisk Systems
OptiRisk Systems R&D House
One Oxford Road
Uxbridge, UB9 4DA
UK
Tel: +44 (0) 1895 256 488
http://www.optirisk-systems.com
|