Interest Rate Modelling and Applications in Practice
31 May - 1 June 2012, LondonBrochure Download | Register Now
|Scope and Purpose|
There is still no standard interest rate model suitable for all kind of interest rate products and markets. This makes it particularly important to have knowledge on a broad range of models used in practise. The workshop aims at presenting a survey on popular models used in the industry (ranging from short rate models to LIBOR market models). Further, a particularly suitable 2-factor-Hull-White-model concept will be presented that sets up a generic pricing framework for a wide range of exotic and standard products and allows for simple calibration.Key features:
Concise introduction to a wide range of interest rate models
Presents pricing methodology for numerous interest rate products
Sets up a complete, generic pricing framework including software demonstration
Application oriented and pedagogical presentation
|Benefits of Attending|
| Enhance your knowledge of interest rate modelling and pricing;
Experience the design of a generic pricing framework;
Learn how to deal with a wide range of pricing problems for interest rate products.
|Quants, actuaries, risk managers.|
Prof. Dr. Ralf Korn, University Kaiserslautern, Fraunhofer Institute for Industrial Mathematics Kaiserslautern
Professor Moorad Choudhry has over 21 years experience in investment banking in the City of London and was most recently Head of Treasury at Europe Arab Bank plc. He was previously Head of Treasury at KBC Financial Products, and vice-president in structured finance services at JPMorgan Chase Bank.
Industry Rate: 2 days £1025 + VAT