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Workshop Programme

for period 18 March 2005

Industry Event: Interest Rates

18 March 2005


Friday 18 March
10:00-11:00 Cairns, A (Heriot-Watt)
  A family of term structure models with stochastic volatility
11:00-11:30 Coffee
11:30-12:30 Joshi, M; Stacey, A (Royal Bank of Scotland)
  Beyond predictor- corrector: better discretisations of the LIBOR market model
12:30-13:30 Lunch
Session: Closing talk
13:30-14:30 Hunter, C (BNP Paribas)
  Applications of financial mathematics to trading
14:30-15:30 Savine, A (BNP Paribas)
  Smile consistent term structure models
15:30-16:00 Tea
16:00-17:00 Rogers, C (Cambridge)
  One for all: the potential approach to hedging and pricing
17:00-18:00 Wine and beer reception

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