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FINANCE-AND-PHYSICS  September 2001

FINANCE-AND-PHYSICS September 2001

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Subject:

Paris seminar: Stochastic volatility BGM model

From:

Rama Cont <[log in to unmask]>

Reply-To:

Rama Cont <[log in to unmask]>

Date:

Mon, 17 Sep 2001 18:55:13 +0200

Content-Type:

TEXT/PLAIN

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Parts/Attachments

TEXT/PLAIN (112 lines)

***** Date limite d inscription / Registration deadline *****
*****               Sept 19,  2001          *********



       L'Association FRONTIERES EN FINANCE

         http://www.frontiers-in-finance.com/

         a le plaisir de vous annoncer le prochain


                 PETIT DEJEUNER DE LA FINANCE


          Mercredi 26 Septembre 2001, de 8h a 9h30

      Maison de la Chimie, 28 rue Saint Dominique 75007 Paris.
         Metro: Assemblee Nationale (Lignes 8 et 13).

         avec une presentation de:


                 Mark JOSHI

    ( Quantitative Research Centre - Royal Bank of Scotland ).

  A stochastic volatility extension of the LIBOR market model

We present an extension of the LIBOR market model which allows for 
stochastic instantaneous volatilities of the forward
rates in a displaced diffusion setting. We show that virtually all the 
powerful and important approximations that apply in the deterministic 
setting can be successfully and naturally extended to the stochastic 
volatility case. In particular we show that i) the caplet market can still 
be efficiently and accurately fit;
ii) that the drift approximations that allow the evolution of the
forward rates over time steps as long as several years are still valid;
iii) that in the new setting the European swaption
matrix implied by a given choice of volatility parameters can be efficiently 
approximated with a closed-form expression without having to carry out a 
Monte Carlo simulation for the forward-rate process; and
iv) that it is still possible to
calibrate the model virtually perfectly via simply matrix manipulations so 
that the prices of the co-terminal swaptions underlying a given Bermudan 
swaption will be exactly recovered, while retaining a desirable behaviour 
for the evolution of the term structure of volatilities.


* About the speaker:

Mark Joshi is member of the Quantitative Research Centre of the Royal Bank 
of Scotland. After obtaining a PhD in Mathematics from MIT in 1994 for his 
research on partial differential equations, he served as Assistant Lecturer 
in the Department of Pure Mathematics and Mathematical Statistics, 
University of Cambridge from 1994 to 1999. He joined (NatWest) Group Risk in 
1999 as senior quantitative analyst and was subsequently appointed Head of 
model evaluation in Sep 2001 at the Royal Bank of Scotland.


--------------------------------------------------------------------

The Petit Dejeuner de la Finance is a monthly seminar organized in Paris by  
Frontiers in Finance, a  non profit association aimed at the diffusion of  
quantitative methods in risk management.


* MODALITES DE PARTICIPATION / REGISTRATION:


Les Petits Dejeuners de la Finance, organises par l'association
FRONTIERES EN FINANCE a travers un partenariat entre des chercheurs et des 
professionels du milieu bancaire et financiers constituent une occasion 
d'echanges entre les praticiens des marches et les chercheurs
universitaires, en apportant aux premiers les resultats des travaux de 
modelisation quantitative et aux seconds la confrontation aux problematiques
concretes des professionels.

La participation au Petit dejeuner est gratuite et ouverte aux chercheurs, 
etudiants de 3eme cycle et professionels du monde financier et bancaire.

La participation au Petit dejeuner est ouverte uniquement SUR
INSCRIPTION PREALABLE et dans la mesure des places disponibles. Une priorite 
est accordee aux organismes partenaires de Frontieres en Finance. Les 
modalites de partenariat sont disponibles sur demande aux organisateurs.

Le nombre de places est limite a 40 et une inscription est obligatoire. Pour 
vous inscrire, envoyer la fiche d'inscription

         http://www.fiquam.polytechnique.fr/finance/inscription.html

par telecopie au

                 01 41 16 71 71.

ou par e-mail a :        [log in to unmask]

en indiquant votre nom, prenom et vos coordonnees precises (adresse,
telephone, fax, e-mail ) ainsi que votre affiliation professionnelle avant 
le 1ç Septembre 2001 au plus tard.

Des renseignements sont disponibles sur notre site Web:

         http://www.frontiers-in-finance.com/

------------------------------------------------------

Frontières en Finance

http://www.frontiers-in-finance.com/

E-mail: [log in to unmask]

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