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Workshop Programme

for period 18 Mar 2005

Industry Event: Interest Rates

18 Mar 2005


Friday 18 March
10:00-11:00 Cairns, A (Heriot-Watt) DQF
  A family of term structure models with stochastic volatility Sem 1
11:00-11:30 Coffee DQF
11:30-12:30 Joshi, M; Stacey, A (Royal Bank of Scotland) DQF
  Beyond predictor- corrector: better discretisations of the LIBOR market model Sem 1
12:30-13:30 Lunch DQF
Session: Closing talk
13:30-14:30 Hunter, C (BNP Paribas) DQF
  Applications of financial mathematics to trading Sem 1
14:30-15:30 Savine, A (BNP Paribas) DQF
  Smile consistent term structure models Sem 1
15:30-16:00 Tea DQF
16:00-17:00 Rogers, C (Cambridge) DQF
  One for all: the potential approach to hedging and pricing Sem 1
17:00-18:00 Wine and beer reception DQF
Other Seminars
Seminars in the University
National and International Scientific Research Meetings

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