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Timetable (DQFW05)

Industry Event: Interest Rates

Friday 18th March 2005

Friday 18th March 2005
10:00 to 11:00
A Cairns ([Heriot-Watt])
A family of term structure models with stochastic volatility
11:00 to 11:30
11:30 to 12:30
M Joshi & A Stacey ([Royal Bank of Scotland])
Beyond predictor- corrector: better discretisations of the LIBOR market model
12:30 to 13:30
13:30 to 14:30
C Hunter ([BNP Paribas])
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
16:00 to 17:00
C Rogers ([Cambridge])
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 The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons