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. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%