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Timetable (DQFW05)

Industry Event: Interest Rates

Friday 18th March 2005

Friday 18th March 2005
10:00 to 11:00 A family of term structure models with stochastic volatility
11:00 to 11:30 Coffee
11:30 to 12:30 Beyond predictor- corrector: better discretisations of the LIBOR market model
12:30 to 13:30 Lunch
13:30 to 14:30 Applications of financial mathematics to trading
Session: Closing talk
14:30 to 15:30 A Savine ([BNP Paribas])
Smile consistent term structure models
15:30 to 16:00 Tea
16:00 to 17:00 One for all: the potential approach to hedging and pricing
17:00 to 18:00 Wine and beer reception
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons