Academic Training Lecture Regular Programme

Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)

Name: Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)
Start: 2009-10-30T11:00:00+01:00
End: 2009-10-30T12:00:00+01:00
Location: CERN

by Brian Coffey (VTB Bank, London), Bryan Lynn (CERN Theory Department, ex-Merrill Lynch MD)

Friday 30 Oct 2009, 11:00 → 12:00 Europe/Zurich

500/1-001 - Main Auditorium (CERN)

500/1-001 - Main Auditorium

CERN

400

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Description

IR and Long Term FX Derivatives - Stochastic Martingales for IR Curves - Implied Volatility Along the IR Curve - IR Libor Bonds - Vanilla IR Options: Caplets, Floorlets - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR - $-Yen Bermudan Power Reverse Duals

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Organised by

Maureen Prola-Tessaur

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Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)

by Brian Coffey (VTB Bank, London), Bryan Lynn (CERN Theory Department, ex-Merrill Lynch MD)

500/1-001 - Main Auditorium

CERN

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