Workshop Programme
for period 18 Mar 2005
Industry Event: Interest Rates
18 Mar 2005
Timetable
| 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 |