Interest-Rate Modelling & Stochastic Volatility Workshop

Venue: Sol Melia White House Hotel

Location: Central london, United Kingdom

Event Date/Time: Jan 26, 2004
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Description

Interest-Rate Modelling & Stochastic Volatility Workshop
Monday 1st / Tuesday 2nd March 2004
Central London

This dynamic workshop covers two of the hot topics in financial research: Smile Modelling and Interest Rate Modelling. The two days will centre on key developments in Interest Rate Modelling, including new research on Wiener Chaos and return modelling with Levy Processes plus new research on stochastic volatility for interest rate models in various approaches (stochastic volatility, uncertain volatility and jump diffusion). The speaker faculty for this event will include some of the world's key pioneers, innovative academics and top practitioners from the fixed income arena.

This programme features the following Interest Rate experts:

Philippe Balland: Director in the fixed income division MERRILL LYNCH, LONDON
Dorje Brody: Royal Society University Research Fellow, IMPERIAL COLLEGE LONDON
Dariusz Gatarek: Manager in the Capital Markets Group, DELOITTE & TOUCHE, WARSAW
Lane Hughston: Professor of Financial Mathematics, KING'S COLLEGE LONDON
Vladimir Piterbarg: Managing Director and co-Head of Quantitative Research, BANK OF AMERICA
Riccardo Rebonato: Head of Group Market Risk and Quantitative Research Centre, RBOS
Nick Webber: Finance Lecturer, CASS BUSINESS SCHOOL, CITY UNIVERSITY, LONDON

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