Print

---

	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.






%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%